Asymptotics for panel models with common shocks

Chihwa Kao, Lorenzo Trapani () and Giovanni Urga

No 615, Working Papers from Department of Management, Information and Production Engineering, University of Bergamo

Abstract: This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error terms. Several characteristics of the panel are considered: cross sectional and time series dimensions can either be fixed or large; factors can either be observable or unobservable; the factor model can describe either cointegration relationship or a spurious regression, and we also consider the stationary case. We derive the rate of convergence and the distribution limits for the ordinary least squares (OLS) estimates of the model parameters under all the aforementioned cases.

Keywords: Panel data; common shocks; cross-sectional dependence; asymptotics. (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10446/428 (application/pdf)

Related works:
Working Paper: The Asymptotics for Panel Models with Common Shocks (2006)
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:brh:wpaper:0615

Access Statistics for this paper

More papers in Working Papers from Department of Management, Information and Production Engineering, University of Bergamo Contact information at EDIRC.
Bibliographic data for series maintained by University of Bergamo Library ().