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Large panel data models with cross-sectional dependence: a survey

Alexander Chudik and M Pesaran ()

No 153, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

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.

JEL-codes: C31 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-geo
Date: 2013
Note: Published as: Chudik, Alexander and M. Hashem Pesaran (2015), "Large Panel Data Models with Cross-Sectional Dependence: A Survey," in The Oxford Handbook of Panel Data, ed. Badi H. Baltagi (New York: Oxford University Press), 3-45.
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