Exponent of Cross-sectional Dependence: Estimation and Inference

Natalia Bailey, George Kapetanios and Mohammad Pesaran

No 6318, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such measures are related to the behaviour of the aggregates defined as cross-sectional averages. We endeavour to determine the rate at which the cross-sectional weighted average of a set of variables appropriately demeaned, tends to zero. One parameterisation sets this to be O(N^2?-2), for 1/2

Keywords: cross correlations; cross-sectional dependence; cross-sectional averages; weak and strong factor models; Capital Asset Pricing Model (search for similar items in EconPapers)
JEL-codes: C21 C32 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2012-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (27)

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Related works:
Journal Article: Exponent of Cross‐Sectional Dependence: Estimation and Inference (2016)
Working Paper: Exponent of Cross-sectional Dependence: Estimation and Inference (2012)
Working Paper: Exponent of Cross-sectional Dependence: Estimation and Inference (2012)
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