EconPapers    
Economics at your fingertips  
 

A Nonlinear Panel Model of Cross-sectional Dependence

George Kapetanios, James Mitchell and Yongcheol Shin

No 673, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can resemble such dependence arising in a variety of existing models such as factor or spatial models. We discuss the theoretical properties of the model and ways in which inference can be carried out. We supplement this analysis with a detailed Monte Carlo study and two empirical illustrations.

Keywords: Cross-sectional dependence; Nonlinearity; Factor models; Panel models; Fixed effects (search for similar items in EconPapers)
JEL-codes: C31 C32 C33 G14 (search for similar items in EconPapers)
Date: 2010-11-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.qmul.ac.uk/sef/media/econ/research/wor ... 2010/items/wp673.pdf (application/pdf)

Related works:
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:qmw:qmwecw:673

Access Statistics for this paper

More papers in Working Papers from Queen Mary University of London, School of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Nicholas Owen ( this e-mail address is bad, please contact ).

 
Page updated 2025-03-31
Handle: RePEc:qmw:qmwecw:673