Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors
A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity assumption, common factors can in fact be much more general and not unit root only. This also helps to alleviat