Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80496
Authors: 
Chudik, Alexander
Pesaran, M. Hashem
Year of Publication: 
2013
Series/Report no.: 
CESifo Working Paper 4371
Abstract: 
This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a review of the concepts of weak and strong cross-sectional dependence, and discusses the exponent of cross-sectional dependence that characterizes the different degrees of cross-sectional dependence. It considers a number of alternative estimators for static and dynamic panel data models, distinguishing between factor and spatial models of cross-sectional dependence. The paper also provides an overview of tests of independence and weak cross-sectional dependence.
Subjects: 
large panels
weak and strong cross-sectional dependence
factor structure
spatial dependence
tests of cross-sectional dependence
JEL: 
C31
C33
Document Type: 
Working Paper

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