Cross-Sectional Dependence
Factor models in panels with cross sectional dependence: an application to the extended SIPRI military expenditure data
... induce cross-sectional dependence in models of military expenditures estimated using panel data, for countries i = 1, 2, ...The cross-sectional dependence appears as correlations ...
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GMM Estimation of short dynamic panel data models with error cross sectional dependence
... This paper considers estimation of short dynamic panel data models with error cross-sectional dependence. It is shown that under spatially correlated errors, an additional, generally non- redundant, ...
36
Testing for seasonal unit roots in heterogeneous panels using monthly data in the presence of cross sectional dependence
... of cross-sectional ...of cross-sectional dependency are presented: the …rst is the cross-sectionally augmented test, denoted CF-IPS, following Pesaran (2007), the other is a bootstap ...
30
Factor models in panels with cross sectional dependence: an application to the extended SIPRI military expenditure data
... of cross-section dependence has been widely recognised in empirical arms race and alliance models, the issue has usually been addressed in the context of quite restrictive ...the ...
25
Non parametric methods under cross sectional dependence
... of cross-sectional dependence, since semi-parametric estimates, such as in the partly linear regression model, are widely used in empirical works, generating a need for a method of inference robust ...
190
Testing for Cross Sectional Dependence in a RandomEffects Model
... across cross-sectional ...a cross section of regions, states, countries, ...exhibit cross-sectional correlation that has to be dealt with (see ...Ignoring cross-sectional ...
10
Testing for unit roots in three dimensional heterogeneous panels in the presence of cross sectional dependence
... the cross-section dimension, such that fewer time observations are required for these tests to have ...of cross sectional ...potential cross-sectional dependence leads to ...
10
Cross sectional Dependence in Panel Data Analysis
... Cross-sectional Dependence in Panel Data Analysis Sarafidis, Vasilis and Wansbeek, Tom The University of Sydney.[r] ...
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Convergence test in the presence of structural changes: an empirical procedure based on panel data with cross sectional dependence
... in cross-sectional ...the cross-section and time dimensions allows for more powerful ...of cross- section independence is particularly ...of cross-sectional ...
21
Essays in panel data econometrics with cross sectional dependence
... and cross-sectional variation which can facilitate the identification of parameters which are difficult to identify with only time series or cross-sectional data (Mavroeidis et ...are ...
169
Comments on: Extensions of some classical methods in change point analysis
... There are a few exceptions: Feng, Kao and Lazarova 2008 and Bai 2010 propose procedures for dating breaks in simple settings with no cross sectional dependence amongst units; Kim 2010, 2[r] ...
5
Testing Unemployment Persistence in Central and Eastern European Countries
... strong cross-sectional dependence among CEE ...Fourth, cross-sectional dependence is the prominent feature of the panel data ...the cross-sectional independence ...
7
Sustainability of current account balances in small states
... of cross-sectional dependence, we do not employ first generation panel unit root tests and panel cointegration test, but instead the cross-sectionally augmented Im-Pesaran- Shin (CIPS) test by ...
7
Fostering innovation in South Asia: Evidence from FMOLS and Causality analysis
... for cross sectional dependence since all the countries in this study are of same region and shocks in one country may affect the other ...Ignoring cross sectional correlation in panels ...
34
Currency Crises and Purchasing Power Parity in the Asian Countries: Evidence Based on Second-Generation Panel Unit-Root Tests
... 2007). Cross sectional dependence is deemed to exist when there are strong co-movements among economic ...by cross-section ...of cross-dependence (CD hereafter) and adopt a ...
20
Comments on: Extensions of some classical methods in change point analysis
... the cross sectional dimension can lead to better inference when tests for breaks are applied to multivariate data; for example, Bai, Lumsdaine and Stock (1998) show that the estimation of the changepoint in ...
6
Military Spending Response to Defense Shocks? International Evidence
... for cross-sectional dependence among countries and structural breaks arising from data series and may lead to incorrect policy ...both cross sectional dependence and structural ...
17
The relationship between economic growth and remittances in the presence of cross-sectional dependance
... A cross-sectional dependence test (CD) was employed which confirms the presence of cross sectional dependence in the ...for cross sectional dependence to ...
15
Global Imbalances: Should We Use Fundamental Equilibrium Exchange Rates?
... of cross-sectional dependence. This test is robust to cross section dependencies by subtracting cross section averages of lagged levels in addition to the standard ADF ...
14
Quantification of grass erosion due to wave overtopping at the Afsluitdijk
... both cross-sectional location and moment in ...certain cross-sectional location all follow a sawtooth-like pattern, as shown in Figure ...
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