Using information criteria to select averages in CCE
证明信息准则可用于选择共同相关效应（CCE）方法中由截面平均值估计的因子，为实践者提供了理论依据。
Summary In the interactive effects panel data literature information criteria are commonly used to consistently determine which of the estimated principal components factors to include. The present paper shows that the same approach can be applied to factors estimated by taking the cross-sectional averages of the observables, as prescribed by the popular common correlated effects (CCE) approach. This should be useful to practitioners because at the moment there is no other theory that justifies the use of information criteria in CCE.