Cross-sectional Dependence in Panel Data Analysis

Vasilis Sarafidis and Tom Wansbeek

MPRA Paper from University Library of Munich, Germany

Abstract: This paper provides an overview of the existing literature on panel data models with error cross-sectional dependence. We distinguish between spatial dependence and factor structure dependence and we analyse the implications of weak and strong cross-sectional dependence on the properties of the estimators. We consider estimation under strong and weak exogeneity of the regressors for both T fixed and T large cases. Available tests for error cross-sectional dependence and methods for determining the number of factors are discussed in detail. The finite-sample properties of some estimators and statistics are investigated using Monte Carlo experiments.

Keywords: Panel data; Cross-sectional dependence; Spatial dependence; Factor structure; Strong/Weak exogeneity. (search for similar items in EconPapers)
JEL-codes: C33 C50 (search for similar items in EconPapers)
Date: 2010-02
New Economics Papers: this item is included in nep-ecm and nep-ure
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Citations: View citations in EconPapers (24)

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https://mpra.ub.uni-muenchen.de/20367/1/MPRA_paper_20367.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/20815/1/MPRA_paper_20815.pdf revised version (application/pdf)

Related works:
Journal Article: Cross-Sectional Dependence in Panel Data Analysis (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20367

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