Dynamic Common Correlated Effects and Small T?

25 June 2024 1 1K Report

I have cross sectional data with 30 cross sections and 15 years of data - That is, N=30 and T=15. How best can I get around the small sample bias and use the DCCE estimator? Would the JackKnife correction help?

Regards.

Chuck A Arize

"Dynamic Common Correlated Effects and Small T" refers to econometric methods for panel data with a small number of time periods (T) relative to cross-sectional units (N). It involves:

Dynamic Panel Models: Incorporating lagged dependent variables to capture dynamics.

Common Correlated Effects (CCE): Addressing cross-sectional dependence by including common factors.

Estimation Challenges: Adjusting traditional methods like GMM for small T to avoid biased estimates.

Potential Research Title

"Dynamic Common Correlated Effects in Panel Data with Limited Time Dimensions"

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