Exponent of cross-sectional dependence: Estimation and inference

Arbeitspapier

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such measures are related to the behaviour of the aggregates defined as cross-sectional averages. We endeavour to determine the rate at which the cross-sectional weighted average of a set of variables appropriately demeaned, tends to zero. One parameterisation sets this to be O(N^2α-2), for 1/2 < α ≤ 1. Given the fashion in which it arises, we refer to as the exponent of cross-sectional dependence. We derive an estimator of from the estimated variance of the cross-sectional average of the variables under consideration. We propose bias corrected estimators, derive their asymptotic properties and consider a number of extensions. We include a detailed Monte Carlo study supporting the theoretical results. Finally, we undertake an empirical investigation of using the S&P 500 data-set, and a large number of macroeconomic variables across and within countries.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IZA Discussion Papers ; No. 6318

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: cross correlations ; cross-sectional dependence ; cross-sectional averages ; weak and strong factor models ; Capital Asset Pricing Model ; Querschnittsanalyse ; Korrelation ; Zeitreihenanalyse ; Schätztheorie ; Theorie ; Schätzung ; Börsenkurs ; Makroökonomischer Einfluss ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem
• Ereignis: Veröffentlichung
• (wer): Institute for the Study of Labor (IZA)
• (wo): Bonn
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/58426
• URN: urn:nbn:de:101:1-2012042310152
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ