Common correlated effects estimation

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codru
Posts: 13
Joined: Thu Jan 16, 2014 1:14 pm

Common correlated effects estimation

Postby codru » Wed Dec 10, 2014 6:28 pm

Has anyone tried to implement the Common Correlated Effects estimation of dynamic panel data models in a system object (multiple equations and cross-equation constraints)? The estimation is based on Pesaran 2006, and more recently Chudik and Pesaran 2013 for dynamic models. Stata has a command for the CCE although I am not sure if it can be applied to multiple equation models.
Any insight is much appreciated. Thanks, c.
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