Structural changes in heterogeneous panels with endogenous regressors
扩展了Pesaran的共同相关效应方法，允许在大规模异质性面板中存在内生回归变量和未知的共同结构变化，并通过蒙特卡洛实验验证了方法的有效性。
Summary This paper extends Pesaran's ( Econometrica , 2006, 74 , 967–1012) common correlated effects (CCE) by allowing for endogenous regressors in large heterogeneous panels with unknown common structural changes in slopes and error factor structure. Since endogenous regressors and structural breaks are often encountered in empirical studies with large panels, this extension makes Pesaran's CCE approach empirically more appealing. In addition to allowing for slope heterogeneity and cross‐sectional dependence, we find that Pesaran's CCE approach is also valid when dealing with unobservable factors in the presence of endogenous regressors and structural changes in slopes and error factor loadings. This is supported by Monte Carlo experiments.