In this paper, we consider a class of time-varying panel data models with individual-specific regression coefficients and common factors where both the serial correlation and cross-sectional dependence among error terms can be present. Based on an initial estimator of factors, we propose a...

This paper establishes asymptotic properties for spiked empirical eigenvalues of sample co- variance matrices for high-dimensional data with both cross-sectional dependence and a dependent sample structure. A new finding from the established theoretical results is that spiked empirical...

Accurate estimation for extent of cross-sectional dependence in large panel data analysis is paramount to further statistical analysis on the data under study. Grouping more data with weak relations (cross--sectional dependence) together often results in less efficient dimension reduction and...