Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/55323 
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dc.contributor.authorBailey, Nataliaen
dc.contributor.authorKapetanios, Georgeen
dc.contributor.authorPesaran, M. Hashemen
dc.date.accessioned2012-02-14-
dc.date.accessioned2012-02-15T17:37:03Z-
dc.date.available2012-02-15T17:37:03Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3722en
dc.subject.jelC21en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordcross correlationsen
dc.subject.keywordcross-sectional dependenceen
dc.subject.keywordcross-sectional averagesen
dc.subject.keywordweak and strong factor modelsen
dc.subject.keywordCapital Asset Pricing Modelen
dc.subject.stwQuerschnittsanalyseen
dc.subject.stwKorrelationen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwBörsenkursen
dc.subject.stwMakroökonomischer Einflussen
dc.subject.stwUSAen
dc.titleExponent of cross-sectional dependence: Estimation and inference-
dc.typeWorking Paperen
dc.identifier.ppn685277747en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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