Showing 1 - 10 of 226
This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data … based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …
Persistent link: https://www.econbiz.de/10010276163
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10010276209
This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution. …
Persistent link: https://www.econbiz.de/10010281918
This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …
Persistent link: https://www.econbiz.de/10010276157
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …
Persistent link: https://www.econbiz.de/10010276160
This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random … models, and the more recent developments in the area of cross-sectional dependence in panel data models. Keywords: random …
Persistent link: https://www.econbiz.de/10010276164
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10010276270
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …
Persistent link: https://www.econbiz.de/10010263969
risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …
Persistent link: https://www.econbiz.de/10011307129
standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …
Persistent link: https://www.econbiz.de/10012492956