CCE in fixed‐ T panels
固定时间维度面板中的共同相关效应估计
Summary The presence of unobserved heterogeneity and its likely detrimental effect on inference has recently motivated the use of factor‐augmented panel regression models. The workhorse of this literature is based on first estimating the unknown factors using the cross‐section averages of the observables, and then applying ordinary least squares conditional on the first‐step factor estimates. This is the common correlated effects (CCE) approach, the existing asymptotic…