CROSS-SECTIONAL DEPENDENCE IN PANEL DATA ANALYSIS

被引：248
|
作者：
Sarafidis, Vasilis [1 ]
Wansbeek, Tom [2 ]
机构：
[1] Univ Sydney, Sch Business, Discipline Operat Management & Econometr, Sydney, NSW 2006, Australia
[2] Univ Groningen, Groningen, Netherlands
来源：
ECONOMETRIC REVIEWS | 2012年 / 31卷 / 05期
关键词：
Cross-sectional dependence; Factor structure; Panel data; Spatial dependence; Strong/Weak exogeneity; DYNAMIC-FACTOR MODEL; COVARIANCE-MATRIX; REGRESSION-MODELS; GMM ESTIMATION; NUMBER; TESTS; TIME; SPECIFICATION; DISTRIBUTIONS; ADVANTAGES;
D O I：
10.1080/07474938.2011.611458
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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 exogeneity of the regressors for both T fixed and T large cases. Available tests for CSD and methods for determining the number of factors are discussed in detail. The finite-sample properties of some estimators and statistics are investigated using Monte Carlo experiments.
引用
收藏
页码：483 / 531
页数：49
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