This paper proposes a new instrumental variables approach for consistent and asymptotically efficient estimation of panel data models with weakly exogenous or endogenous regressors and residuals generated by a multi-factor error structure. In this case, the standard dynamic panel estimators fail...

This paper proposes a new testing procedure for detecting error cross section dependence after estimating a linear dynamic panel data model with regressors using the generalised method of moments (GMM). The test is valid when the cross-sectional dimension of the panel is large relative to the...

type="main" xml:id="obes12062-abs-0001" <title type="main">Abstract</title> <p>This article proposes a partially heterogeneous framework for the analysis of panel data with fixed T. In particular, the population of cross-sectional units is grouped into clusters, such that slope parameter homogeneity is maintained only within...</p>

This article provides an overview of the existing literature on panel data models with error cross-sectional dependence (CSD). We distinguish between weak and strong CSD and link these concepts to the spatial and factor structure approaches. We consider estimation under strong and weak...