This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

This paper considers a class of GMM estimators for general dynamic panel models, allowing for cross sectional dependence due to spatial lags and due to unspecified common shocks. We significantly expand the scope of the existing literature by allowing for endogenous spatial weight matrices,...

This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a...

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variable and/or weakly ex-ogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must...

This paper investigates the long-run economic relationship between health care expenditure and income in the world using data on 167 countries over the period 1995-2012, collected from the World Bank data set. The analysis is carried using panel data methods that allow one to account for...

This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a...

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variable and/or weakly ex-ogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must...

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

This paper assesses sources of productivity spillovers in China's electric and electronic manufacturing industry using a rich panel data-set of 25,360 firms observed over the period 2004-2007. This industry is characterized by its important reliance on technology. In particular, the paper...

This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...