On the Role of the Rank Condition in CCE Estimation of Factor-Augmented Panel Regressions

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift


A popular approach to factor-augmented panel regressions is the common correlatedeffects (CCE) estimator of Pesaran (Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967–1012, 2006). This paper points to a problem with the CCE approach that appears in the empirically relevant case when the number of factors is strictly less than the number of observables used in their estimation. Specifically, the use of too many observables causes the second moment matrix of the estimated factors to become asymptotically singular, an issue that has not yet been appropriately accounted for. The purpose of the present paper is to fill this gap in the literature.


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Externa organisationer
  • University of Amsterdam

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Ekonomi och näringsliv


Sidor (från-till)60-64
Antal sidor5
TidskriftJournal of Econometrics
Utgåva nummer1
Tidigt onlinedatum2016 okt 28
StatusPublished - 2017 mar
Peer review utfördJa

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Simon Reese, 2017 mar 2, Lund: Lund University (Media-Tryck). 227 s.

Forskningsoutput: AvhandlingDoktorsavhandling (sammanläggning)

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