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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/55323
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Bailey, Natalia | | en_US |
| dc.contributor.author | | Kapetanios, George | | en_US |
| dc.contributor.author | | Pesaran, M. Hashem | | en_US |
| dc.date.accessioned | | 2012-02-14 | | en_US |
| dc.date.accessioned | | 2012-02-15T17:37:03Z | | - |
| dc.date.available | | 2012-02-15T17:37:03Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/55323 | | - |
| dc.description.abstract | | An 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.iso | | eng | | en_US |
| dc.publisher | | CESifo München | | en_US |
| dc.relation.ispartofseries | | CESifo working paper: Empirical and Theoretical Methods 3722 | | en_US |
| dc.subject.jel | | C21 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | cross correlations | | en_US |
| dc.subject.keyword | | cross-sectional dependence | | en_US |
| dc.subject.keyword | | cross-sectional averages | | en_US |
| dc.subject.keyword | | weak and strong factor models | | en_US |
| dc.subject.keyword | | Capital Asset Pricing Model | | en_US |
| dc.subject.stw | | Querschnittsanalyse | | en_US |
| dc.subject.stw | | Korrelation | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Makroökonomischer Einfluss | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.title | | Exponent of cross-sectional dependence: Estimation and inference | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 685277747 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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