Showing 1 - 10 of 4,359
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data … based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …, and as predicted by the theory, quite robust to the presence of unit roots and structural breaks. The use of the CD test …
Persistent link: https://www.econbiz.de/10011449852
This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution …. -- exponent of cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …
Persistent link: https://www.econbiz.de/10009533962
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10010476668
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10003969212
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 …-sectional dependence. It considers a number of alternative estimators for static and dynamic panel data models, distinguishing between …
Persistent link: https://www.econbiz.de/10009786037
little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two … pooled mean group estimator (SPMG) to deal with these features. Using this new panel estimator and a dataset spanning almost …
Persistent link: https://www.econbiz.de/10013041372
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random … models, and the more recent developments in the area of cross-sectional dependence in panel data models. Keywords: random …
Persistent link: https://www.econbiz.de/10011449962
This paper presents a new approach to estimation and inference in panel data models with unobserved common factors …
Persistent link: https://www.econbiz.de/10011505911
risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …
Persistent link: https://www.econbiz.de/10011305389
standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …
Persistent link: https://www.econbiz.de/10012405456