{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,26]],"date-time":"2026-08-26T23:31:24Z","timestamp":1787787084132,"version":"build-2784847793"},"reference-count":45,"publisher":"Oxford University Press (OUP)","issue":"2","license":[{"start":{"date-parts":[[2024,12,10]],"date-time":"2024-12-10T00:00:00Z","timestamp":1733788800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/academic.oup.com\/journals\/pages\/open_access\/funder_policies\/chorus\/standard_publication_model"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72473004"],"award-info":[{"award-number":["72473004"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["72133002"],"award-info":[{"award-number":["72133002"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2025,6,6]]},"abstract":"<jats:title>Summary<\/jats:title>\n               <jats:p>This paper focuses on estimating the coefficients and average partial effects of observed regressors in nonlinear panel data models with interactive fixed effects, using the common correlated effects framework. The proposed two-step estimation method involves applying principal component analysis to estimate the latent factors based on cross-sectional averages of the regressors in the first step, and jointly estimating the coefficients of the regressors and the factor loadings in the second step. The asymptotic distributions of the proposed estimators are derived under general conditions, assuming that the number of time-series observations is comparable to the number of cross-sectional observations. To correct for asymptotic biases of the estimators, we introduce both analytical and split-panel jackknife methods, and confirm their good performance in finite samples using Monte Carlo simulations. Finally, the proposed method is used to study the arbitrage behaviour of nonfinancial firms across different security markets.<\/jats:p>","DOI":"10.1093\/ectj\/utae022","type":"journal-article","created":{"date-parts":[[2024,12,11]],"date-time":"2024-12-11T02:57:21Z","timestamp":1733885841000},"page":"295-317","source":"Crossref","is-referenced-by-count":2,"title":["Common correlated effects estimation of nonlinear panel data models"],"prefix":"10.1093","volume":"28","author":[{"given":"Liang","family":"Chen","sequence":"first","affiliation":[{"name":"Peking University HSBC Business School, , No. 2199 Lishui Road, Shenzhen, Guangdong 518055 ,","place":["China"]}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Minyuan","family":"Zhang","sequence":"additional","affiliation":[{"name":"Shanghai University of Finance and Economics School of Economics, , No. 777 Guoding Road, Shanghai 200433 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