Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - In: Econometrics Journal 14 (2011) 02, pp. 45-45
<b> </b> This paper introduces the concepts of time‐specific weak and strong cross‐section dependence, and investigates how these notions are related to the concepts of weak, strong and semi‐strong common factors, frequently used for modelling residual cross‐section correlations in panel data...