Artikel
A conditional approach to panel data models with common shocks
This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, which rely on using results on martingale difference sequences, our method relies on conditional strong laws of large numbers and conditional central limit theorems for conditionally-heterogeneous random variables.
- Sprache
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Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 4 ; Year: 2016 ; Issue: 1 ; Pages: 1-12 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
factor structure
common shocks
conditional independence
conditional central limit theorem
- Ereignis
-
Geistige Schöpfung
- (wer)
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Forchini, Giovanni
Peng, Bin
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2016
- DOI
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doi:10.3390/econometrics4010004
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Forchini, Giovanni
- Peng, Bin
- MDPI
Entstanden
- 2016
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