Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253.
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Affiliated author
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Publication year2026
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JournalJournal of Econometrics
This article distills the vast literature on Common Correlated Effects (CCE), initiated by the seminal contribution of Pesaran (2006), into five practical lessons. We provide a concise overview of the CCE framework and describe the reasons for its popularity in empirical (macro-) panel data research. The lessons we draw focus on aspects that have received substantial methodological attention, but remain underappreciated in empirical work.