Testing for Cross-Sectional Dependence in Panel-Data Models
نویسندگان
چکیده
منابع مشابه
Testing for Cross-sectional Dependence in Fixed E¤ects Panel Data Models
This paper proposes a new test for cross-sectional dependence in xed e¤ects panel data models. It is well known that ignoring cross-sectional dependence leads to incorrect statistical inference. In the panel data literature, attempts to account for cross-sectional dependence include factor models and spatial correlation. In most cases, strong assumptions on the covariance matrix are imposed. A...
متن کاملSemiparametric Single-Index Panel Data Models With Cross-Sectional Dependence
In this paper, we consider a semiparametric single index panel data model with cross–sectional dependence, high–dimensionality and stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then establish some consistent closed–form estimates for both the unknown parameters an...
متن کاملSemiparametric Trending Panel Data Models with Cross-Sectional Dependence
A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross–sectional dependence in both the regressors and the residuals. A pooled semiparametric profile likelihood dummy variable approach based on the first–stage local linear fitting is developed to estimate both the parameter vector and the nonparametric ...
متن کاملa new approach to credibility premium for zero-inflated poisson models for panel data
هدف اصلی از این تحقیق به دست آوردن و مقایسه حق بیمه باورمندی در مدل های شمارشی گزارش نشده برای داده های طولی می باشد. در این تحقیق حق بیمه های پبش گویی بر اساس توابع ضرر مربع خطا و نمایی محاسبه شده و با هم مقایسه می شود. تمایل به گرفتن پاداش و جایزه یکی از دلایل مهم برای گزارش ندادن تصادفات می باشد و افراد برای استفاده از تخفیف اغلب از گزارش تصادفات با هزینه پائین خودداری می کنند، در این تحقیق ...
15 صفحه اولLimit 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 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: The Stata Journal: Promoting communications on statistics and Stata
سال: 2006
ISSN: 1536-867X,1536-8734
DOI: 10.1177/1536867x0600600403