Unbiased CCE estimator for Interactive Fixed Effects panels

摘要

In this paper the primary interest is to propose a three-stage procedure to debias Pesaran (2006)'s Common Correlated Effects (CCE) estimator while keep the efficiency asymptotically unchanged for factor-augmented regressions. If some regularities are satisfied, this procedure also debiases Bai (2009)'s Interactive Fixed Effects (IFE) estimator. We also show the consistency of CCE estimator in insufficient proxy situation. (C) 2018 Elsevier B.V. All rights reserved.