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.
- Language
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 4 ; Year: 2016 ; Issue: 1 ; Pages: 1-12 ; Basel: MDPI
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
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factor structure
common shocks
conditional independence
conditional central limit theorem
- Event
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Geistige Schöpfung
- (who)
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Forchini, Giovanni
Peng, Bin
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2016
- DOI
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doi:10.3390/econometrics4010004
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Forchini, Giovanni
- Peng, Bin
- MDPI
Time of origin
- 2016
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