Large panels with common factors and spatial correlation

Journal of Econometrics

Volumn 161, Issue 2, 2011, Pages 182-202

  Pesaran, M Hashem ^a,b   Tosetti, Elisa ^c  

^a TRINITY COLLEGE   (United Kingdom)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^c BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Common correlated effects estimator; Common factors; Panels; Spatial dependence

Indexed keywords

ASYMPTOTIC DISTRIBUTIONS; COMMON CORRELATED EFFECTS ESTIMATOR; COMMON FACTORS; ERROR STRUCTURES; HOMOGENEOUS SLOPE; MONTE CARLO EXPERIMENTS; MULTI-FACTOR; NON-PARAMETRIC; PANEL DATA MODELS; PANELS; REGRESSION MODEL; SMALL SAMPLES; SPATIAL CORRELATIONS; SPATIAL DEPENDENCE; SPATIAL ERRORS; VARIANCE MATRIX;

ERRORS; MODELS; REGRESSION ANALYSIS;

ESTIMATION;

EID: 79952448406     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.12.003     Document Type: Article

References (48)

1. D. Andrews Cross section regression with common shocks Econometrica 73 2005 1551 1585 (Pubitemid 41602765)
2. L. Anselin Spatial Econometrics: Methods and Models 1988 Kluwer Academic Publishers Dordrecht, The Netherlands
3. J. Bai Panel data models with interactive fixed effects Econometrica 77 2009 1229 1279
4. N.K. Bakirov, and G.J. Szkely Student's t-test for Gaussian scale mixtures Journal of Mathematical Sciences 139 2006 6497 6505 (Pubitemid 44663519)
5. Baltagi, B.H., Egger, P., Pfaffermayr, M., 2009. A generalized spatial panel data model with random effects. Center for Policy Research. Paper 53.
6. B. Baltagi, S. Song, and W. Koh Testing panel data regression models with spatial error correlation Journal of Econometrics 117 2003 123 150
7. D.S. Bernstein Matrix Mathematics: Theory, Facts, and Formulas with Application to Linear Systems Theory 2005 Princeton University Press
8. Bester, C.A., Conley, T.G., Hansen, C.B., 2009. Inference with dependent data using cluster covariance estimators. Mimeo. University of Chicago.
9. Chudik, A., Pesaran, M.H., Tosetti, E., 2010. Weak and strong cross section dependence and estimation of large panels. The Econometrics Journal (forthcoming).
10. K.L. Chung A Course in Probability Theory 2001 Academic Press
11. Coakley, J., Fuertes, A.M., Smith, R., 2002. A principal components approach to cross-section dependence in panels. Birkbeck College Discussion Paper 01/2002.
12. J. Coakley, A.M. Fuertes, and R. Smith Unobserved heterogeneity in panel time series Computational Statistics and Data Analysis 50 2006 2361 2380 (Pubitemid 43326109)
13. T.G. Conley GMM estimation with cross sectional dependence Journal of Econometrics 92 1999 1 45 (Pubitemid 129593206)
14. T.G. Conley, and G. Topa Socio-economic distance and spatial patterns in unemployment Journal of Applied Econometrics 17 2002 303 327 (Pubitemid 37282657)
15. R. Cooper, and J. Haltiwanger Evidence on macroeconomic complementarities The Review of Economics and Statistics 78 1996 78 93
16. R. Cowan, W. Cowan, and G.M.P. Swann Waves in consumption with interdependence among consumers Canadian Journal of Economics 37 2004 149 177 (Pubitemid 38492782)
17. J.C. Driscoll, and A.C. Kraay Consistent covariance matrix estimation with spatially dependent panel data The Review of Economics and Statistics 80 1998 549 560
18. P. Egger, M. Pfaffermayr, and H. Winner An unbalanced spatial panel data approach to US state tax competition Economics Letters 88 2005 329 335 (Pubitemid 40984379)
19. B. Fingleton A generalized method of moments estimator for a spatial panel model with an endogenous spatial lag and spatial moving average errors Spatial Economic Analysis 3 2008 27 44
20. B. Fingleton, and J. Le Gallo Estimating spatial models with endogenous variables, a spatial lag and spatially dependent disturbances: finite sample properties Papers in Regional Science 87 2008 319 339
21. R. Ibragimov, and U.K. Müller t-statistic based correlation and heterogeneity robust inference Journal of Business and Economic Statistics 28 2010 453 468
22. G. Kapetanios, and M.H. Pesaran Alternative approaches to estimation and inference in large multifactor panels: small sample results with an application to modelling of asset returns G. Phillips, E. Tzavalis, The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis 2007 Cambridge University Press Cambridge
23. G. Kapetanios, M.H. Pesaran, and T. Yagamata Panels with nonstationary multifactor error structures Journal of Econometrics 160 2011 326 348
24. M. Kapoor, H.H. Kelejian, and I.R. Prucha Panel data models with spatially correlated error components Journal of Econometrics 140 2007 97 130 (Pubitemid 47193166)
25. H.H. Kelejian, and I.R. Prucha A generalized moments estimator for the autoregressive parameter in a spatial model International Economic Review 40 1999 509 533
26. H.H. Kelejian, and I.R. Prucha HAC estimation in a spatial framework Journal of Econometrics 140 2007 131 154 (Pubitemid 47187555)
27. H.H. Kelejian, and I.R. Prucha Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances Journal of Econometrics 157 2009 53 67
28. L.F. Lee Asymptotic distributions of quasi-maximum likelihood estimators for spatial autoregressive models Econometrica 72 2004 1899 1925
29. L.F. Lee GMM and 2SLS estimation of mixed regressive, spatial autoregressive models Journal of Econometrics 137 2007 489 514
30. L.F. Lee, and J. Yu Estimation of spatial autoregressive panel data models with fixed effects Journal of Econometrics 154 2010 165 185
31. K.V. Mardia, and R.J. Marshall Maximum likelihood estimation of models for residual covariance in spatial regression Biometrika 71 1984 135 146
32. W.K. Newey, and K.D. West A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix Econometrica 55 1987 703 708
33. Onatski, A., 2009. Asymptotics of the principal components estimator of large factor models with weak factors. Mimeo. Columbia University.
34. D. Paul Asymptotics of the leading sample eigenvalues for a spiked covariance model Statistica Sinica 17 2007 1617 1642
35. M.H. Pesaran Estimation and inference in large heterogenous panels with multifactor error structure Econometrica 74 2006 967 1012 (Pubitemid 43936866)
36. M.H. Pesaran, T. Schuermann, and S. Weiner Modelling regional interdependencies using a global error-correcting macroeconometric model Journal of Business and Economic Statistics 22 2004 129 162 (Pubitemid 38544991)
37. M.H. Pesaran, and R.P. Smith Estimating long-run relationships from dynamic heterogeneous panels Journal of Econometrics 68 1995 79 113
38. Pesaran, M.H., Tosetti, E., 2009. Large panels with common factors and spatial correlation. CESifo Working Paper Series No. 2103.
39. P.C.B. Phillips, and D. Sul Dynamic panel estimation and homogeneity testing under cross section dependence The Econometrics Journal 6 2003 217 259 (Pubitemid 37358301)
40. J. Pinkse, M. Slade, and C. Brett Spatial price competition: a semiparametric approach Econometrica 70 2002 1111 1153 (Pubitemid 34550599)
41. Robertson, D., Symons, J., 2000. Factor residuals in SUR regressions: estimating panels allowing for cross sectional correlation. Mimeo. University of Cambridge.
42. D. Robertson, and J. Symons Maximum likelihood factor analysis with rank-deficient sample covariance matrices Journal of Multivariate Analysis 98 2007 813 828
43. J. Smith, and M. McAleer Newey-West covariance matrix estimates for models with generated regressors Applied Economics 26 1994 635 640
44. A. Ullah Finite Sample Econometrics 2004 Oxford University Press Oxford
45. P. Whittle On stationary processes on the plane Biometrika 41 1954 434 449
46. Yu, J., de Jong, R., Lee, L.F., 2007. Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large: a nonstationary case. Mimeo. Ohio State University.
47. J. Yu, R. de Jong, and L.F. Lee Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large Journal of Econometrics 146 2008 118 137
48. J. Yu, and L.F. Lee Estimation of unit root spatial dynamic panel data models Econometric Theory 26 2010 1332 1362