Nonparametric Estimation in Large Panels with Cross-Sectional Dependence

被引：20
|
作者：
Huang, Xiao [1 ]
机构：
[1] Kennesaw State Univ, Dept Econ Finance & Quantitat Anal, Kennesaw, GA 30144 USA
来源：
ECONOMETRIC REVIEWS | 2013年 / 32卷 / 5-6期
关键词：
Cross sectional dependence; Large panels; Local linear regression; Mixing process; C14; C23;
D O I：
10.1080/07474938.2013.740998
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we consider nonparametric estimation in panel data under cross-sectional dependence. Both the number of cross-sectional units (N) and the time dimension of the panel (T) are assumed to be large, and the cross-sectional dependence has a multifactor structure. Local linear regression is used to filter the unobserved cross-sectional factors and to estimate the nonparametric conditional mean. A Monte Carlo simulation study shows that the proposed estimator yields good finite sample properties.
引用
收藏
页码：754 / 777
页数：24
相关论文
共 50 条
  • [41] CONSISTENT COVARIANCE-MATRIX ESTIMATION WITH CROSS-SECTIONAL DEPENDENCE AND HETEROSKEDASTICITY IN FINANCIAL DATA
    FROOT, KA
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1989, 24 (03) : 333 - 355
  • [42] Outliers and spatial dependence in cross-sectional regressions
    Mur, Jesus
    Lauridsen, Jorgen
    ENVIRONMENT AND PLANNING A-ECONOMY AND SPACE, 2007, 39 (07): : 1752 - 1769
  • [43] Correction to: Exponent of Cross-sectional Dependence for Residuals
    Natalia Bailey
    George Kapetanios
    M. Hashem Pesaran
    Sankhya B, 2020, 82 : 380 - 380
  • [44] Bootstrap inference under cross-sectional dependence
    Conley, Timothy G.
    Goncalves, Silvia
    Kim, Min Seong
    Perron, Benoit
    QUANTITATIVE ECONOMICS, 2023, 14 (02) : 511 - 569
  • [45] CROSS-SECTIONAL DEPENDENCE IN PANEL DATA ANALYSIS
    Sarafidis, Vasilis
    Wansbeek, Tom
    ECONOMETRIC REVIEWS, 2012, 31 (05) : 483 - 531
  • [46] Need for earlier intervention in alcohol dependence - evidence from a large cross-sectional study
    Rehm, J.
    EUROPEAN NEUROPSYCHOPHARMACOLOGY, 2015, 25 : S672 - S673
  • [47] Bootstrap unit root tests in panels with cross-sectional dependency
    Chang, Y
    JOURNAL OF ECONOMETRICS, 2004, 120 (02) : 263 - 293
  • [48] Nonparametric estimation of transition probabilities for a general progressive multi-state model under cross-sectional sampling
    de Una-Alvarez, Jacobo
    Mandel, Micha
    BIOMETRICS, 2018, 74 (04) : 1203 - 1212
  • [49] Development of Methods for Cross-Sectional HIV Incidence Estimation in a Large, Community Randomized Trial
    Laeyendecker, Oliver
    Kulich, Michal
    Donnell, Deborah
    Komarek, Arnost
    Omelka, Marek
    Mullis, Caroline E.
    Szekeres, Greg
    Piwowar-Manning, Estelle
    Fiamma, Agnes
    Gray, Ronald H.
    Lutalo, Tom
    Morrison, Charles S.
    Salata, Robert A.
    Chipato, Tsungai
    Celum, Connie
    Kahle, Erin M.
    Taha, Taha E.
    Kumwenda, Newton I.
    Karim, Quarraisha Abdool
    Naranbhai, Vivek
    Lingappa, Jairam R.
    Sweat, Michael D.
    Coates, Thomas
    Eshleman, Susan H.
    PLOS ONE, 2013, 8 (11):
  • [50] ESTIMATION OF CROSS-SECTIONAL AREA OF ULNA AND RADIUS
    HORSMAN, A
    LEACH, AE
    AMERICAN JOURNAL OF PHYSICAL ANTHROPOLOGY, 1974, 40 (02) : 173 - 185
12345