Weak and strong cross-section dependence and estimation of large panels

Econometrics Journal

Volumn 14, Issue 1, 2011, Pages

  Chudik, Alexander ^a,b   Pesaran, M Hashem ^b,d   Tosetti, Elisa ^b,c  

^a EUROPEAN CENTRAL BANK   (Germany)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c BRUNEL UNIVERSITY   (United Kingdom)

^d UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Common correlated effects (CCE) estimator; Panels; Strong and weak cross section dependence; Weak and strong factors

Indexed keywords

EID: 79951685846     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2010.00330.x     Document Type: Article

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