Common correlated effects estimation
Posted: 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.
Any insight is much appreciated. Thanks, c.