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dc.contributor.authorBailey, Nataliaen_US
dc.contributor.authorKapetanios, Georgeen_US
dc.contributor.authorPesaran, M. Hashemen_US
dc.date.accessioned2012-02-14en_US
dc.date.accessioned2012-02-15T17:37:03Z-
dc.date.available2012-02-15T17:37:03Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/55323-
dc.description.abstractAn important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such measures are related to the behaviour of the aggregates defined as cross-sectional averages. We endeavour to determine the rate at which the cross-sectional weighted average of a set of variables appropriately demeaned, tends to zero. One parameterisation sets the exponent of the cross-sectional dimension, N, being between 1/2 and 1. We refer to this as the exponent of cross-sectional dependence. We derive an estimator of this exponent from the estimated variance of the cross-sectional average of the variables under consideration. We propose bias corrected estimators, derive their asymptotic properties and consider a number of extensions. We include a detailed Monte Carlo study supporting the theoretical results. Finally, we undertake an empirical investigation of the exponent of cross-sectional dependence using the S&P 500 data-set, and a large number of macroeconomic variables across and within countries.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper: Empirical and Theoretical Methods 3722en_US
dc.subject.jelC21en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordcross correlationsen_US
dc.subject.keywordcross-sectional dependenceen_US
dc.subject.keywordcross-sectional averagesen_US
dc.subject.keywordweak and strong factor modelsen_US
dc.subject.keywordCapital Asset Pricing Modelen_US
dc.subject.stwQuerschnittsanalyseen_US
dc.subject.stwKorrelationen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwMakroökonomischer Einflussen_US
dc.subject.stwUSAen_US
dc.titleExponent of cross-sectional dependence: Estimation and inferenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn685277747en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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