Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models
非线性条件均值面板模型的共同相关效应截面依赖修正
Summary This paper provides an approach to estimation and inference for nonlinear conditional mean panel data models, in the presence of cross‐sectional dependence. We modify Pesaran's ( Econometrica , 2006, 74 (4), 967–1012) common correlated effects correction to filter out the interactive unobserved multifactor structure. The estimation can be carried out using nonlinear least squares, by augmenting the set of explanatory variables with cross‐sectional averages of both…