An Overview of Dependence in Cross-Section, Time-Series, and Panel Data

DOI10.1080/07474938.2012.740957zbMATH Open1491.00042OpenAlexW1980161820MaRDI QIDQ5080583FDOQ5080583

Authors:

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2012.740957

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to economics (62P20) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06)

Cites Work

• Choosing the Number of Instruments
• Testing panel data regression models with spatial error correlation.
• Panel data models with spatially correlated error components
• Weak and strong cross-section dependence and estimation of large panels
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Large panels with common factors and spatial correlation
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• A test for spatial autocorrelation in seemingly unrelated regressions
• Lessons from a decade of IPS and LLC
• A nonparametric poolability test for panel data models with cross section dependence
• Econometric analysis of high dimensional VARs featuring a dominant unit
• A generalized spatial panel data model with random effects
• Cross-Sectional Dependence in Panel Data Analysis
• Nonparametric estimation in large panels with cross-sectional dependence
• Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments
• On two-step estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors

Cited In (1)

• Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model

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