Operations Management and Econometrics
Cross-sectional Dependence in Panel Data Analysis
Dr Vasilis Sarafidis, The University of Sydney Business School
4th Nov 2011 11:00 am - Room 498, Merewether Building (H04)
This paper provides an overview of the existing literature on panel data models with error cross-sectional dependence. We distinguish between spatial dependence and factor structure dependence and we analyse the implications of weak and strong cross-sectional dependence on the properties of the estimators. We consider estimation under strong and weak exogeneity of the regressors for both T fixed and T large cases. Available tests for error cross-sectional dependence 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.
The paper can be downloaded from the following web link: