A regularization approach to common correlated effects estimation

Juodis, Artūras

doi:10.1002/jae.2899

Cited by 28 publications

(3 citation statements)

References 63 publications

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“…For this aim, we used three different estimators which consider CSD. These estimators are the Augmented Mean Group estimator (AMG) developed by Eberhardt and Teal (2010), the dynamic common correlated effects estimator (DCCE) by Chudik and Pesaran (2015), and the regularized CCE estimator (rCCE) by Juodis (2022). Table 5 includes panel long‐run estimation results.…”

Section: Methodology and Empirical Resultsmentioning

confidence: 99%

The impact of clean energy consumption, green innovation, and technological diffusion on environmental sustainability: New evidence from load capacity curve hypothesis for 10 European Union countries

Aydin,

Degirmenci

2023

Sustainable Development

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Today, when climate change and environmental degradation are experienced, environmental sustainability comes to the fore. The most important component of environmental sustainability is undoubtedly technology and innovation. This study examines the effects of clean energy consumption, green innovation, and technological diffusion on environmental sustainability from 1990 to 2018 in selected European Union countries. This relationship has been frequently examined in the literature within the framework of the environmental Kuznets curve (EKC) hypothesis. The number of studies examining it within the load capacity curve (LCC) hypothesis framework is negligible. This study aims to fill the gap in the literature in the context of examining the relationship within the framework of the LCC hypothesis. For this purpose, Westerlund's (2008) panel cointegration test was applied, and cointegration was determined in the LCC model. Three different long‐term estimators, namely rCCE, DCCE, and AMG, were used to test the validity of the hypothesis. Although the results obtained for the entire panel say that the LCC hypothesis is not valid, evidence for the existence of the hypothesis has been identified in the country‐based results. Accordingly, the LCC hypothesis is valid for Denmark, France, Portugal, and Spain. Overall, green innovation and technological diffusion are essential to encourage the spread of environmentally friendly practices and to leave a more livable world for future generations.

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Section: Methodology and Empirical Resultsmentioning

confidence: 99%

The impact of clean energy consumption, green innovation, and technological diffusion on environmental sustainability: New evidence from load capacity curve hypothesis for 10 European Union countries

Aydin,

Degirmenci

2023

Sustainable Development

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“…We will come back to this estimator in Section 4, where we discuss it in detail. Since its introduction, the CCE estimator has become a standard tool in panel data econometrics, giving rise to a whole new strand of the literature with numerous extensions such as Kapetanios et al (2011), Chudik et al (2011), Pesaran and Tosetti (2011), Chudik and Pesaran (2015), Westerlund (2018), Westerlund et al (2019), Juodis et al (2021) and Juodis (2021) to name just a few.…”

Section: Introductionmentioning

confidence: 99%

CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects

Vogt¹,

Walsh²,

Linton³

2022

Preprint

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Interactive fixed effects are a popular means to model unobserved heterogeneity in panel data. Models with interactive fixed effects are well studied in the low-dimensional case where the number of parameters to be estimated is small. However, they are largely unexplored in the high-dimensional case where the number of parameters is large, potentially much larger than the sample size itself. In this paper, we develop new econometric methods for the estimation of high-dimensional panel data models with interactive fixed effects. Our estimator is based on similar ideas as the very popular common correlated effects (CCE) estimator which is frequently used in the low-dimensional case. We thus call our estimator a high-dimensional CCE estimator. We derive theory for the estimator both in the large-T -case, where the time series length T tends to infinity, and in the small-T -case, where T is a fixed natural number. The theoretical analysis of the paper is complemented by a simulation study which evaluates the finite sample performance of the estimator.

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“…FollowingPesaran (2007), we included CSAs of one-period lagged level and the first difference of co2, fd, gdp, and TB in the equation. Then, we excluded statistically insignificant CSAs to increase the efficiency of the estimates, as the number of time series observations is not large, following the suggestion byJuodis (2022). Table8documents the results.…”

mentioning

confidence: 99%

Analyzing CO2 Emissions Effect of Financial Development while Accounting for Common Factors in the GCC. Is the Effect Asymmetric?

Hasanov,

Shannak,

Mukhtarov

et al. 2023

Preprint

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Ignoring common factors can lead to erroneous findings and misleading policy recommendations, according to panel time-series literature. The same consequences occur if the nature of a factor’s effects is incorrectly considered. We investigated CO2 emission effects of financial development (FD) alongside income and international trade in Gulf Cooperation Council (GCC) countries. The Asymmetric Pooled Mean Group augmented with common unobserved factors - a cutting-edge method allowing to discover not only the features of the pooled panel but also the characteristics of each country - was applied to data for 1992–2021. There is no such application for GCC countries, and only one internationally to our knowledge. We show that accounting for factors common to GCC countries is important, as ignoring them makes the CO2 emissions effects of FD flawed. The effects are asymmetric: upturn of FD leads to lower emissions than its downturn. Another key finding is that CO2 emissions in GCC countries may converge to an identical relationship. In designing CO2 emissions mitigation policies, the following points should be considered: directing financial resources toward eco-friendly technologies, energy transitions, and sectors; accounting for global and regional common factors; close cooperation across the region countries due to common factors and convergence.

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A regularization approach to common correlated effects estimation

Cited by 28 publications

References 63 publications

The impact of clean energy consumption, green innovation, and technological diffusion on environmental sustainability: New evidence from load capacity curve hypothesis for 10 European Union countries

The impact of clean energy consumption, green innovation, and technological diffusion on environmental sustainability: New evidence from load capacity curve hypothesis for 10 European Union countries

CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects

Analyzing CO2 Emissions Effect of Financial Development while Accounting for Common Factors in the GCC. Is the Effect Asymmetric?

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