Kuersteiner, Guido M.; Prucha, Ingmar R. - In: Journal of Econometrics 174 (2013) 2, pp. 107-126
The paper derives a general Central Limit Theorem (CLT) and asymptotic distributions for sample moments related to panel data models with large n. The results allow for the data to be cross sectionally dependent, while at the same time allowing the regressors to be only sequentially rather than...