Chudik, Alexander; Pesaran, M. Hashem - 2009
documented by Monte Carlo experiments. -- Large N and T Panels ; Weak and Strong Cross Section Dependence ; VAR ; Global VAR … 21
5 Monte Carlo experiments: small
sample properties of CALS estimator 28
5.1 Monte Carlo design 28
5.2 Monte Carlo … Carlo experiments.
Keywords: Large N and T Panels, Weak and Strong Cross Section Dependence, VAR, Global
VAR, Factor Models …