A conditional approach to panel data models with common shocks

This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, which rely on using results on martingale difference sequences, our method relies on conditional strong laws of large numbers and conditional central limit theorems for conditionally-heterogeneous random variables.

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Year of publication:	2016
Authors:	Forchini, Giovanni ; Peng, Bin
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 4.2016, 1, p. 1-12
Publisher:	Basel : MDPI
Subject:	factor structure \| common shocks \| conditional independence \| conditional central limit theorem

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics4010004 [DOI] 845587161 [GVK] hdl:10419/171857 [Handle]
Classification:	C23 - Models with Panel Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10011755311