|
EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/55170
|
| | |
| Title: | | A nonlinear panel model of cross-sectional dependence  |
| Authors: | | Kapetanios, George Mitchell, James Shin, Yongcheol |
| Issue Date: | | 2010 |
| Series/Report no.: | | Working Paper // School of Economics and Finance, Queen Mary, University of London 673 |
| Abstract: | | This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can resemble such dependence arising in a variety of existing models such as factor or spatial models. We discuss the theoretical properties of the model and ways in which inference can be carried out. We supplement this analysis with a detailed Monte Carlo study and two empirical illustrations. |
| Subjects: | | cross-sectional dependence nonlinearity factor models panel models fixed effects |
| JEL: | | C31 C32 C33 G14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series, School of Economics and Finance, Queen Mary, University of London
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/55170
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|