Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/185421
Autoren: 
Bailey, Natalia
Kapetanios, George
Pesaran, M. Hashem
Datum: 
2018
Reihe/Nr.: 
CESifo Working Paper 7223
Zusammenfassung: 
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise cross correlations of these errors. We prove that our estimator, ᾶ; is consistent and derive the rate at which ᾶ approaches its true value. We evaluate the finite sample properties of the proposed estimator by use of a Monte Carlo simulation study. The numerical results are encouraging and supportive of the theoretical findings. Finally, we undertake an empirical investigation of α for the errors of the CAPM model and its Fama-French extensions using 10-year rolling samples from S&P 500 securities over the period Sept 1989 - May 2018.
Schlagwörter: 
pair-wise correlations
cross-sectional dependence
cross-sectional averages
weak and strong factor models
CAPM and Fama-French factors
JEL: 
C21
C32
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
893.88 kB





Publikationen in EconStor sind urheberrechtlich geschützt.