Bootstrap Improved Inference for Factor-Augmented Regressions with CCE
The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel models. Yet, it is often neglected that the pooled variant is biased unless the cross-section dimension (N) of the dataset dominates the time series length (T). This is problematic for inference with typical macroeconomic datasets where T often equal or larger than N. Given that an an