Bhattacharjee, Arnab; Ditzen, Jan; Holly, Sean - 2024
-sectional dependence, so that a spatial difference, suitably defined, is weakly cross-section dependent (granular) but can be nonstationary … processes. In large samples, cross-section averages serve the first purpose and we propose the mean group, common correlated … cross-section dependence, and partial adjustment to two long-run equilibrium relationships in terms of time and space. …