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...

We propose a HAC estimator for the covariance matrix of the fixed effects estimator in a panel data model with unobserved fixed effects and errors that are both serially and spatially correlated.

The purpose of this paper is twofold: 1) to highlight the widely ignored but fundamental problem of ‘superpopulations’ for the use of inferential statistics in development studies. We do not to dwell on this problem however as it has been sufficiently discussed in older papers by...

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...

Empirically, teenagers who use soft drugs are more likely to use hard drugs in the future. This pattern can be explained by a causal effect (i.e., state dependence between drugs or stepping-stone effects) or by unobserved characteristics that make people more likely to use both soft and hard...

We examine the long-run relation and short-run dynamics between energy consumption and output in a panel of 14 oil-exporting countries over 1980–2007. Panel unit root tests, which account for common cross-sectional factors, fail to reject non-stationarity in both variables. Thus, we explore...

We consider a set of minimal identification conditions for dynamic factor models. These conditions have economic interpretations, and require fewer number of restrictions than when putting in a static-factor form. Under these restrictions, a standard structural vector autoregression (SVAR) with...

This paper investigates spatio-temporal variations in ex-post credit risk in the United States, as a function of real estate prices, loan purchases made by government sponsored enterprises, and a set of local characteristics during the recent housing boom and bust.

The study defines a common scheme for study the conditions of a firm, approaches and models for determining optimal decisions. They are developed for firms from the wine production industry. Suggested are versions of development of the wine production. A total structure of the model is given....

This paper introduces a novel approach for dealing with the .curse of dimensionality.in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...