Abstract
This article provides an overview of the existing literature on panel data models with error cross-sectional dependence (CSD). We distinguish between weak and strong CSD and link these concepts to the spatial and factor structure approaches. We consider estimation under strong and weak exogeneity of the regressors for both T fixed and T large cases. Available tests for CSD and methods for determining the number of factors are discussed in detail. The finite-sample properties of some estimators and statistics are investigated using Monte Carlo experiments.
| Original language | English |
|---|---|
| Pages (from-to) | 483-531 |
| Number of pages | 49 |
| Journal | Econometric Reviews |
| Volume | 31 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 2012 |
Keywords
- Cross-sectional dependence
- Factor structure
- Panel data
- Spatial dependence
- Strong/Weak exogeneity
- DYNAMIC-FACTOR MODEL
- SPATIAL AUTOREGRESSIVE MODELS
- CONSISTENT COVARIANCE-MATRIX
- APPROXIMATE FACTOR MODELS
- ERROR-COMPONENTS
- REGRESSION-MODELS
- GMM ESTIMATION
- NUMBER
- TESTS
- ESTIMATORS