Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171857
Authors: 
Forchini, Giovanni
Peng, Bin
Year of Publication: 
2016
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Year:] 2016 [Issue:] 1 [Pages:] 1-12
Abstract: 
This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, which rely on using results on martingale difference sequences, our method relies on conditional strong laws of large numbers and conditional central limit theorems for conditionally-heterogeneous random variables.
Subjects: 
factor structure
common shocks
conditional independence
conditional central limit theorem
JEL: 
C23
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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