Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few … measures of cross-sectional dependence and how such measures are related to the behaviour of the aggregates defined as cross …, we refer to as the exponent of cross-sectional dependence. We derive an estimator of from the estimated variance of the …