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01291nam a2200157Ia 4500 |
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10.1002-jae.2712 |
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220511s2019 CNT 000 0 und d |
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|a 08837252 (ISSN)
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|a Structural changes in heterogeneous panels with endogenous regressors
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260 |
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|b John Wiley and Sons Ltd
|c 2019
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|z View Fulltext in Publisher
|u https://doi.org/10.1002/jae.2712
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|a This paper extends Pesaran's (Econometrica, 2006, 74, 967–1012) common correlated effects (CCE) by allowing for endogenous regressors in large heterogeneous panels with unknown common structural changes in slopes and error factor structure. Since endogenous regressors and structural breaks are often encountered in empirical studies with large panels, this extension makes Pesaran's CCE approach empirically more appealing. In addition to allowing for slope heterogeneity and cross-sectional dependence, we find that Pesaran's CCE approach is also valid when dealing with unobservable factors in the presence of endogenous regressors and structural changes in slopes and error factor loadings. This is supported by Monte Carlo experiments. © 2019 John Wiley & Sons, Ltd.
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|a Baltagi, B.H.
|e author
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|a Feng, Q.
|e author
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|a Kao, C.
|e author
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773 |
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|t Journal of Applied Econometrics
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