Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity
نویسندگان
چکیده
منابع مشابه
Limit Theory for Panel Data Models with Cross Sectional Dependence and Sequential Exogeneity.
The paper derives a general Central Limit Theorem (CLT) and asymptotic distributions for sample moments related to panel data models with large n. The results allow for the data to be cross sectionally dependent, while at the same time allowing the regressors to be only sequentially rather than strictly exogenous. The setup is sufficiently general to accommodate situations where cross sectional...
متن کاملA 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 centra...
متن کاملMultiplicative panel data models without the strict exogeneity assumption
This paper studies estimation of multiplicative, unobserved components panel data models without imposing the strict exogeneity assumption on the explanatory variables. The method of moments estimators proposed have significant robustness properties; they require only a conditional mean assumption, and apply to models with lagged dependent variables, finite distributed lag models that allow arb...
متن کاملEfficiency in Large Dynamic Panel Models with Common Factor
This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. These models are especially relevant for applications to large portfolios of credits, corporate bonds, or life insurance contracts, and are recommended in the current regulation in Finance (Basel II and Basel III) and Insurance (Solvency II). The specificatio...
متن کاملSpatial panel models
This paper provides a survey of the existing literature on spatial panel data models. Both static and dynamic models will be considered. The paper also demonstrates that spatial econometric models that include lags of the dependent variable and of the independent variables in both space and time provide a useful tool to quantify the magnitude of direct and indirect effects, both in the short te...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometrica
سال: 2020
ISSN: 0012-9682
DOI: 10.3982/ecta13660