Sarafidis, Vasilis and Wansbeek, Tom (2010): Crosssectional 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 crosssectional dependence. We distinguish between spatial dependence and factor structure dependence and we analyse the implications of weak and strong crosssectional 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 crosssectional dependence and methods for determining the number of factors are discussed in detail. The finitesample properties of some estimators and statistics are investigated using Monte Carlo experiments.
Item Type:  MPRA Paper 

Original Title:  Crosssectional Dependence in Panel Data Analysis 
Language:  English 
Keywords:  Panel data, Crosssectional 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 ; Spatiotemporal Models 
Item ID:  20815 
Depositing User:  Vasilis Sarafidis 
Date Deposited:  21. Feb 2010 18:26 
Last Modified:  23. Apr 2015 14:10 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/20815 
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Crosssectional Dependence in Panel Data Analysis. (deposited 03. Feb 2010 00:23)
 Crosssectional Dependence in Panel Data Analysis. (deposited 21. Feb 2010 18:26) [Currently Displayed]