Series estimation under cross-sectional dependence

Jungyoon Lee and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross-sectional dependence and heterogeneity. A uniform rate of consistency, asymptotic normality, and sufficient conditions for convergence, are established, and a data-driven studentization new to cross-sectional data is justifi…ed. The conditions accommodate various cross-sectional settings plausible in economic applications, and apply also to panel and time series data. Strong, as well as weak dependence are covered, and conditional heteroscedasticity is allowed.

Keywords: series estimation; nonparametric regression; spatial data; cross-sectional dependence; uniform rate of consistency; functional central limit theorem; Data-driven studentization (search for similar items in EconPapers)
JEL-codes: J1 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2013-06-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:58188

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