Structural changes in heterogeneous panels with endogenous regressors
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...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/147538 |
| _version_ | 1811688948579172352 |
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| author | Baltagi, Badi H. Feng, Qu Kao, Chihwa |
| author2 | School of Social Sciences |
| author_facet | School of Social Sciences Baltagi, Badi H. Feng, Qu Kao, Chihwa |
| author_sort | Baltagi, Badi H. |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T05:40:19Z |
| format | Journal Article |
| id | ntu-10356/147538 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T05:40:19Z |
| publishDate | 2021 |
| record_format | dspace |
| spelling | ntu-10356/1475382023-03-05T15:32:58Z Structural changes in heterogeneous panels with endogenous regressors Baltagi, Badi H. Feng, Qu Kao, Chihwa School of Social Sciences Social sciences::Economic theory Data Models Inference 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. Ministry of Education (MOE) Accepted version Financial support from the MOEAcRF Tier 1 Grant M4011314 at Nanyang Technological University is gratefully acknowledged. 2021-04-05T08:34:49Z 2021-04-05T08:34:49Z 2019 Journal Article Baltagi, B. H., Feng, Q. & Kao, C. (2019). Structural changes in heterogeneous panels with endogenous regressors. Journal of Applied Econometrics, 34(6), 883-892. https://dx.doi.org/10.1002/jae.2712 0883-7252 https://hdl.handle.net/10356/147538 10.1002/jae.2712 2-s2.0-85071632378 6 34 883 892 en M4011314 Journal of Applied Econometrics This is the peer reviewed version of the following article: Baltagi, B. H., Feng, Q., & Kao, C. (2019). Structural changes in heterogeneous panels with endogenous regressors. Journal of Applied Econometrics, 34(6), 883-892, which has been published in final form at https://dx.doi.org/10.1002/jae.2712. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions application/pdf |
| spellingShingle | Social sciences::Economic theory Data Models Inference Baltagi, Badi H. Feng, Qu Kao, Chihwa Structural changes in heterogeneous panels with endogenous regressors |
| title | Structural changes in heterogeneous panels with endogenous regressors |
| title_full | Structural changes in heterogeneous panels with endogenous regressors |
| title_fullStr | Structural changes in heterogeneous panels with endogenous regressors |
| title_full_unstemmed | Structural changes in heterogeneous panels with endogenous regressors |
| title_short | Structural changes in heterogeneous panels with endogenous regressors |
| title_sort | structural changes in heterogeneous panels with endogenous regressors |
| topic | Social sciences::Economic theory Data Models Inference |
| url | https://hdl.handle.net/10356/147538 |
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