Mean group estimation in presence of weakly cross-correlated estimators

DOI10.1016/J.ECONLET.2018.12.036zbMath1410.62090OpenAlexW2900517003WikidataQ128674038 ScholiaQ128674038MaRDI QIDQ1714093

Alexander Chudik, M. Hashem Pesaran

Publication date: 31 January 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://www.dallasfed.org/~/media/documents/institute/wpapers/2018/0349.pdf

zbMATH Keywords

panel dataasymptotic covariance matrixspatial modelsmean group estimatorcross sectional dependence

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Analysis of variance and covariance (ANOVA) (62J10)

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Cites Work

• HAC estimation in a spatial framework
• Large panels with common factors and spatial correlation
• Estimating long-run relationships from dynamic heterogeneous panels
• Split-panel Jackknife Estimation of Fixed-effect Models
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