CCE in panels with general unknown factors
放宽了共同相关效应（CCE）估计量对因子必须平稳的假设，允许因子更一般化，且无需区分确定性与随机因子，方便实践者使用。
A popular approach to factor‐augmented panel regressions is the common correlated effects (CCE) estimator of Pesaran (2006). In fact, the approach is so popular that it has given rise to a separate CCE literature. A common assumption in this literature is that the common factors are stationary, which would seem to rule out many empirically relevant cases. Moreover, deterministic factors are typically treated as known, which raises the issue of model misspecification. In the current paper, we show how the conditions placed on the factors in CCE can be made much more general than was previously thought possible. In fact, save for some mild regulatory moment conditions, the factors are essentially unrestricted. One implication of this result is that there is no need to discriminate between deterministic and stochastic factors, but that one can instead treat them all as unknown. This is very convenient for practitioners, because it means that under certain conditions they are spared the problem of having to decide which deterministic terms to include in the model.