On generalized CCE estimation
广义共同相关效应估计
The widely-used common correlated effects (CCE) estimator, pioneered by Pesaran (2006), is computed using least squares applied to auxiliary regressions where the observed regressors are augmented with cross-sectional averages of the dependent variable and regressors. However, the CCE estimator requires a crucial rank condition and becomes inconsistent when this condition is violated and the factor loadings of the x- and y -equations are correlated, causing an endogeneity…