<b> </b> This paper introduces the concepts of time‐specific weak and strong cross‐section dependence, and investigates how these notions are related to the concepts of weak, strong and semi‐strong common factors, frequently used for modelling residual cross‐section correlations in panel data...

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double- indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

This paper investigates spatio-temporal variations in ex-post credit risk in the United States, as a function of real estate prices, loan purchases made by government sponsored enterprises, and a set of local characteristics during the recent housing boom and bust.

In this paper, we investigate the impact of precarious employment on mental health using a unique dataset that matches information on mental health with labour characteristics for a set of employees in Italy. We examine the causal effect of temporary contracts, their duration and the number of...

This paper considers methods for estimating the slope coefficients in large panel data models that are robust to the presence of various forms of error cross section dependence. It introduces a general framework where error cross section dependence may arise because of unobserved common effects...

This paper considers methods for estimating the slope coefficients in large panel data models that are robust to the presence of various forms of error cross section dependence. It introduces a general framework where error cross section dependence may arise because of unobserved common effects...

In this paper we propose a general approach for estimating stochastic frontier mod- els, suitable when using long panel data sets. We measure efficiency as a linear combi- nation of a finite number of unobservable common factors, having coefficients that vary across firms, plus a time-invariant...

We propose a HAC estimator for the covariance matrix of the fixed effects estimator in a panel data model with unobserved fixed effects and errors that are both serially and spatially correlated.