Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2003
conditions fail. Confidence intervals exhibit similarly dichotomous behavior. Hence, common shocks are found to be innocuous in …This paper considers regression models for cross-section data that exhibit cross-section dependence due to common … shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV …