Arbeitspapier
Weak and strong cross section dependence and estimation of large panels
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 quadratic mean, as N is increased without bounds for all weights that satisfy certain ‘granularity’ conditions. Relationship with the notions of weak and strong common factors is investigated and an application to the estimation of panel data models with an infinite number of weak factors and a finite number of strong factors is also considered. The paper concludes with a set of Monte Carlo experiments where the small sample properties of estimators based on principal components and CCE estimators are investigated and compared under various assumptions on the nature of the unobserved common effects.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1100
Klassifikation
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Econometric and Statistical Methods and Methodology: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Thema
Panels
Strong and Weak Cross Section Dependence
Weak and Strong Factors
Panel
Querschnittsanalyse
Korrelation
Zeitreihenanalyse
Theorie
Strong and Weak Cross Section Dependence
Weak and Strong Factors
Panel
Querschnittsanalyse
Korrelation
Zeitreihenanalyse
Theorie
Ereignis
Geistige Schöpfung
(wer)
Chudik, Alexander
Pesaran, Hashem
Tosetti, Elisa
Pesaran, Hashem
Tosetti, Elisa
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2009
- Handle
- Letzte Aktualisierung
-
12.07.2024, 13:24 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Chudik, Alexander
- Pesaran, Hashem
- Tosetti, Elisa
- European Central Bank (ECB)
Entstanden
- 2009
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