Large Panel Data Models with Cross-Sectional Dependence: A Survey

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 4371

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Subject: large panels ; weak and strong cross-sectional dependence ; factor structure ; spatial dependence ; tests of cross-sectional dependence

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chudik, Alexander ; Pesaran, M. Hashem
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/80496
• Last update: 10.03.2025, 11:44 AM CET