Mean group estimation in presence of weakly cross-correlated estimators

Alexander Chudik and Mohammad Pesaran

Economics Letters, 2019, vol. 175, issue C, 101-105

Abstract: This paper extends the mean group (MG) estimator for random coefficient panel data models by allowing the underlying individual estimators to be weakly cross correlated. This can arise, for example, in panels with spatially correlated errors. We establish that the MG estimator is asymptotically correctly centered, and its asymptotic covariance matrix can be consistently estimated. In contrast with the homogeneous case, the random coefficient specification allows for correct inference even when nothing is known about the weak cross-sectional dependence of the errors.

Keywords: Mean group estimator; Cross sectional dependence; Spatial models; Panel data (search for similar items in EconPapers)
JEL-codes: C12 C13 C23 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518305305
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Mean Group Estimation in Presence of Weakly Cross-Correlated Estimators (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:175:y:2019:i:c:p:101-105

DOI: 10.1016/j.econlet.2018.12.036

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().