On the robustness of the pooled cce estimator
WebAmong the existing estimators of factor-augmented regressions, the CCE approach is the most popular. A major reason for this popularity is the simplicity and good small-sample … Web1 de jun. de 2024 · The purpose is to study the asymptotic properties of the pooled CCE estimator under more realistic conditions. In particular, the common factor component may be correlated with the regressors, and the true number of common factors, r , can be larger than the number of estimated factors, which in CCE is given by k + 1 , where k is the …
On the robustness of the pooled cce estimator
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Web1 de mar. de 2012 · On the robustness of the pooled CCE estimator. Journal of Econometrics, Volume 220, Issue 2, 2024, pp. 325-348. Show abstract. Among the existing estimators of factor-augmented regressions, the CCE approach is the most popular. WebThe purpose is to study the asymptotic properties of the pooled CCE estimator under more realistic conditions. In particular, the common factor component may be correlated with the regressors, and the true number of common factors, r , can be larger than the number of estimated factors, which in CCE is given by k + 1 , where k is the number of regressors.
WebHowever, the corresponding common correlated effects (CCEs) estimator can be sensitive to the number of cross‐section averages used and/or the static factor representation for observables. ... Hande & Westerlund, Joakim, 2024. "On the robustness of the pooled CCE estimator," Journal of Econometrics, Elsevier, vol. 220(2), pages 325-348. WebIt is shown how the conditions placed on the factors in CCE can be made much more general than was previously thought possible, and that there is no need to discriminate between deterministic and stochastic factors, but that one can instead treat them all as unknown. A popular approach to factor‐augmented panel regressions is the common …
Web15 de jul. de 2024 · In a recent work, Schneider et al. (2011) proposed a new measure R for network robustness, where the value of R is calculated within the entire process of … Web9 de mar. de 2024 · This paper proposes a binary classifier to evaluate the rank condition (RC) that is required for consistency of the Common Correlated Effects (CCE) …
Web11 de mar. de 2024 · Robust statistics addresses the problem of finding estimators that are resilient to small departures from the statistical model assumed. The foundations of robust statistics occurred in the 1960s, with the fundamental works of John Tukey (1960), Peter Huber (1964), and Frank Hampel (1971). Classical estimation methods rely on model …
WebOn the robustness of the pooled CCE estimator. Cite Download (334.37 kB)Share Embed. journal contribution. posted on 2024-02-01, 00:00 authored by A Juodis, H Karabiyik, Joakim Westerlund Joakim Westerlund. On the robustness of the pooled CCE estimator. History. Journal Journal of Econometrics. Volume 220. Issue 2. Pagination … shark movies 2022 full movieWebThe purpose is to study the asymptotic properties of the pooled CCE estimator under more realistic conditions. In particular, the common factor component may be correlated with … shark movies 2012WebHowever, the CCE estimator is consistent only in nondynamic panels (Chudik and Pesaran 2015b;EveraertandGroote2016). Inadynamicpanelsuchas y it = ... Pesaran (2006) considers a pooled version of the CCE estimator, with the con- shark movie full movieWeb1 de mar. de 2012 · On the robustness of the pooled CCE estimator. Journal of Econometrics, Volume 220, Issue 2, 2024, pp. 325-348. Show abstract. Among the … shark movies coming out in 2022WebJuodis et al. (2024) also shows the asymptotic normality of the pooled common correlated estimator (CCE) based on N /T → κ ∈ (0, ∞) asymptotics, which is mostly satisfied in our … shark movie freeWeb1 de jun. de 2013 · The purpose is to study the asymptotic properties of the pooled CCE estimator under more realistic conditions. In particular, the common factor component may be correlated with the regressors, and the true number of common factors, r , can be larger than the number of estimated factors, which in CCE is given by k + 1 , where k is the … shark movies megWeb11 de abr. de 2024 · Barrett’s oesophagus is estimated to occur in 1–2% of Western adults, and is characterised by formation of a metaplastic columnar cell epithelium in the … shark movie 53 meters down