Sarafidis, Vasilis and Wansbeek, Tom (2010): Cross-sectional Dependence in Panel Data Analysis.
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This paper provides an overview of the existing literature on panel data models with error cross-sectional dependence. We distinguish between spatial dependence and factor structure dependence and we analyse the implications of weak and strong cross-sectional dependence on the properties of the estimators. We consider estimation under strong and weak exogeneity of the regressors for both T fixed and T large cases. Available tests for error cross-sectional dependence and methods for determining the number of factors are discussed in detail. The finite-sample properties of some estimators and statistics are investigated using Monte Carlo experiments.
|Item Type:||MPRA Paper|
|Original Title:||Cross-sectional Dependence in Panel Data Analysis|
|Keywords:||Panel data, Cross-sectional dependence, Spatial dependence, Factor structure, Strong/Weak exogeneity.|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C33 - Models with Panel Data; Longitudinal Data; Spatial Time Series
|Depositing User:||Vasilis Sarafidis|
|Date Deposited:||03. Feb 2010 00:23|
|Last Modified:||12. Feb 2013 03:42|
Sarafidis, V. and T. Wansbeek (2010) "Cross-sectional Dependence in Panel Data Analysis", mimeo, The University of Sydney.
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