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An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009530816
cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …
Persistent link: https://www.econbiz.de/10003355571