Cross-sectional dependence in the error terms
The Cross Sectional Dependence Puzzle
... of cross sectional dependence on the asymptotic distribution of panel unit root and cointegration ...zero error covariance, that is assuming E( ε t ε t )= Ω is ...that cross ...
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Non parametric methods under cross sectional dependence
... 2 pcap 2 + δ 5 wage · pcap +δ 6 P U C + δ 7 kwh + δ 8 lif e + δ 9 lf + δ 10 kmwire + u. We have as the dependent variable, tc, the log of total cost per customer. As re- gressors, cust is the log of the number of ...
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GMM Estimation of short dynamic panel data models with error cross-sectional dependence
... Remarks Error cross-sectional dependence is an increasingly popular research area in the analysis of panel ...spatial dependence and factor structure dependence in dynamic panel ...
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GMM Estimation of short dynamic panel data models with error cross sectional dependence
... Remarks Error cross-sectional dependence is an increasingly popular research area in the analysis of panel ...spatial dependence and factor structure dependence in dynamic panel ...
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GMM Estimation of Short Dynamic Panel Data Models With Error Cross-Sectional Dependence
... the cross-sectional dimension of the error process for the dynamic panel GMM estimator to remain ...that cross-sectional independence (or uncorrelatedness) is not necessary rather, it ...
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Testing for Cross Sectional Dependence in a RandomEffects Model
... two-way error compo- nents model is compared with the critical value for the chi-squared distribution— 1 2 ...no cross-sectional dependence problem in a two-way random effects ...no ...
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Panel Stationarity Tests with Cross-sectional Dependence
... panel, even though their time series dynamics may be quite heterogeneous. At the same time, the studentization automatically robustifies the statistic to the presence of any form of cross-sectional ...
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Series estimation under cross-sectional dependence
... general cross-sectional heterogeneity and dependence, mainly of a weak ...to cross-sectional, spatial, time series and panel data, and follow the framework of Robinson ( 2011 ), with ...
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Cross-sectional Dependence in Panel Data Analysis
... instance, the Penn-World tables cover several countries over relatively long periods and the main focus of study lies in cross-country economic, social and political comparisons. One major issue that inherently ...
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Robust estimation under error cross section dependence
... weakly cross section- ally dependent and serially ...of cross products of regression errors, computed over a subset of n cross sectional units, where n → ∞ as N rises, and n / N → ...weak ...
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Robust estimation under error cross section dependence
... weakly cross section- ally dependent and serially ...of cross products of regression errors, computed over a subset of n cross sectional units, where n → ∞ as N rises, and n / N → ...weak ...
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Semiparametric estimation of the dependence parameter of the error terms in multivariate regression
... the dependence parameter and the joint distribution of the error term in the multivariate linear regression ...the error term as unknown, and estimates them by suitable empirical distribution ...the ...
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Spurious Cross-Sectional Dependence in Credit Spread Changes
... the cross-sectional residual dependence with a simple test, namely the relation between company credit ratings and the correlations of the η i residuals with the market portfolio of the residuals, ...
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Testing Weak Cross-Sectional Dependence in Large Panels
... i = 1, c i could still di¤er across i depending on the number of periods that the i th unit root process has been in operation before the initial observation, y i0 . Given the complicated nature of the dynamics and the ...
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On the cross-sectional asymmetric dependence between investment returns
... asymmetric dependence is the only factor that is consistently priced in- sample across all markets ...asymmetric dependence being a risk-based factor (see Griffin (2002)) that affects excess equity returns ...
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Essays in panel data econometrics with cross sectional dependence
... We extend Pesaran (2006) estimator to quantile regression (the QCCE estimator) to analyze the whole conditional distribution of market quality. This estimator is also robust to extreme observations on the response. We ...
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Spurious Cross-Sectional Dependence in Credit Spread Changes
... In order to understand the lingering credit risk puzzle and the apparent segmentation of the stock market from credit markets, we need to be able to assess the strength of the cross-sectional ...
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Panel Unit Root Tests and the Specification of Cross-sectional Dependence
... of cross-sectional independence between the units and it produced the so called ”first generation panel unit root ...possible dependence between units could introduce severe bias in the first ...
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Detecting changes in cross-sectional dependence in multivariate time series
... pseudo-observations, is often a better estimator of a copula than the empirical distribution function based on observations from the copula itself. For another illustration in the context of tail dependence ...
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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
... Remark 1 Although we derived only the sequential weak limit of the test statistics, it is not di¢ cult to see that the sequential limit is the same as the joint limit where T and N go to in…nity simultaneously if we ...
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