2004, 2003-2004, English, Article, Working paper edition: Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence Pesaran, M. Hashem

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/731
Physical Description
  • 582479 bytes, application/​pdf
  • Working Paper
Published
  • 2004-06-16T16:05:21Z
  • 2003-01
Language
  • English

Edition details

Title
  • Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence
Author
  • Pesaran, M. Hashem
Published
  • 2004-06-16T16:05:21Z
  • 2003-01
Physical Description
  • 582479 bytes, application/​pdf
  • Working Paper
Subjects
Notes
  • This paper presents a new approach to estimation and inference in panel data models with unobserved common factors possibly correlated with exogenously given individual-specific regressors and/​or the observed common effects. The basic idea behind the proposed estimation procedure is to filter the individual-specific regressors by means of (weighted) cross-section aggregates such that, asymptotically as the cross-section dimension (N) tends to infinity, the differential of unobserved common factors are eliminated. The estimation procedure has the advantage that it can be computed by OLS applied to an auxiliary regression where the observed regressors are augmented by cross sectional averages of the dependent variable and the individual specific regressors. It is shown that the proposed correlated common effects (CCE) estimators for the individual-specific regressors (and its pooled counterpart) are asymptotically unbiased as N ? 8, both when T (the time-series dimension) is fixed, and when N and T tend to infinity jointly. Further, the CCE estimators are asymptotically normal for T fixed as N ? 8, and when (N,T) ? 8, jointly provided vT/​N ? 0 as (N,T) ? 8. A generalisation of these results to multi-factor structures is also provided.
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment