Sarafidis, Vasilis and Wansbeek, Tom (2010): Cross-sectional Dependence in Panel Data Analysis.
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Abstract
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 |
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Original Title: | Cross-sectional Dependence in Panel Data Analysis |
Language: | English |
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 - Panel Data Models ; Spatio-temporal Models |
Item ID: | 20367 |
Depositing User: | Vasilis Sarafidis |
Date Deposited: | 03 Feb 2010 00:23 |
Last Modified: | 26 Sep 2019 13:43 |
References: | Sarafidis, V. and T. Wansbeek (2010) "Cross-sectional Dependence in Panel Data Analysis", mimeo, The University of Sydney. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/20367 |
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