Large Panel Data Models with Cross-Sectional Dependence: A Survey

Alexander Chudik and Mohammad Pesaran

No 4371, CESifo Working Paper Series from CESifo

Abstract: This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a review of the concepts of weak and strong cross-sectional dependence, and discusses the exponent of cross-sectional dependence that characterizes the different degrees of cross-sectional dependence. It considers a number of alternative estimators for static and dynamic panel data models, distinguishing between factor and spatial models of cross-sectional dependence. The paper also provides an overview of tests of independence and weak cross-sectional dependence.

Keywords: large panels; weak and strong cross-sectional dependence; factor structure; spatial dependence; tests of cross-sectional dependence (search for similar items in EconPapers)
JEL-codes: C31 C33 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (108)

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Working Paper: Large panel data models with cross-sectional dependence: a survey (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_4371

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