Advanced Search
MyIDEAS: Login

Citations for "Weak and Strong Cross Section Dependence and Estimation of Large Panels"

by Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Luciana Juvenal & Ivan Petrella, 2011. "Speculation in the oil market," Working Papers, Federal Reserve Bank of St. Louis 2011-027, Federal Reserve Bank of St. Louis.
  2. Eberhardt, Markus & Helmers, Christian & Strauss, Hubert, 2010. "Do spillovers matter when estimating private returns to R&D?," Economic and Financial Reports, European Investment Bank, Economics Department 2010/1, European Investment Bank, Economics Department.
  3. Kapetanios, George & Mitchell, James & Shin, Yongcheol, 2014. "A nonlinear panel data model of cross-sectional dependence," Journal of Econometrics, Elsevier, Elsevier, vol. 179(2), pages 134-157.
  4. Benos, Nikos & Karagiannis, Stelios, 2013. "Do Cross-Section Dependence and Parameter Heterogeneity Matter? Evidence on Human Capital and Productivity in Greece," MPRA Paper 53326, University Library of Munich, Germany.
  5. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," CESifo Working Paper Series 4736, CESifo Group Munich.
  6. Chudik, Alexander & Fratzscher, Marcel, 2012. "Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis," Working Paper Series, European Central Bank 1416, European Central Bank.
  7. Chudik, Alexander & Fratzscher, Marcel, 2010. "Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8093, C.E.P.R. Discussion Papers.
  8. Hashem M. Pesaran & Alexander Chudik, 2011. "Aggregation in Large Dynamic Panels," CESifo Working Paper Series 3346, CESifo Group Munich.
  9. Michele Ca' Zorzi & Alexander Chudik & Alistair Dieppe, 2012. "The perils of aggregating foreign variables in panel data models," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 111, Federal Reserve Bank of Dallas.
  10. Vasilis Sarafidis & Tom Wansbeek, 2012. "Cross-Sectional Dependence in Panel Data Analysis," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 31(5), pages 483-531, September.
  11. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2011. "Cross-sectional dependence robust block bootstrap panel unit root tests," Journal of Econometrics, Elsevier, Elsevier, vol. 163(1), pages 85-104, July.
  12. Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo Group Munich.
  13. Eberhardt, Markus & Teal, Francis, 2008. "Modeling technology and technological change in manufacturing: how do countries differ?," MPRA Paper 10690, University Library of Munich, Germany.
  14. Holly, S. & Pesaran, M.H. & Yamagata, T., 2009. "Spatial and Temporal Diffusion of House Prices in the UK," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0952, Faculty of Economics, University of Cambridge.
  15. M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," CESifo Working Paper Series 2193, CESifo Group Munich.
  16. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers, Research Institute for Market Economy, Sogang University 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  17. Pesaran, M. H., 2012. "Testing Weak Cross-Sectional Dependence in Large Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1208, Faculty of Economics, University of Cambridge.
  18. Michele Ca'Zorzi & Alexander Chudik, 2013. "Spatial considerations on the PPP debate," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 138, Federal Reserve Bank of Dallas.
  19. Alexander Chudik & Roland Straub, 2011. "Size, openness, and macroeconomic interdependence," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 103, Federal Reserve Bank of Dallas.
  20. Ruge-Leiva, Diego-Ivan, 2014. "International R&D Spillovers and Unobserved Common Shocks," MPRA Paper 56718, University Library of Munich, Germany.
  21. Hyungsik Roger Moon & Martin Weidner, 2013. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  22. Cern Ertur & Antonio Musolesi, 2012. "Spatial autoregressive spillovers vs unobserved common factors models. A panel data analysis of international technology diffusion," INRA UMR CESAER Working Papers, INRA UMR CESAER, Centre d'’Economie et Sociologie appliquées à l'’Agriculture et aux Espaces Ruraux 2012/9, INRA UMR CESAER, Centre d'’Economie et Sociologie appliquées à l'’Agriculture et aux Espaces Ruraux.
  23. Pesaran, Hashem & Chudik, Alexander, 2013. "Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1317, Faculty of Economics, University of Cambridge.
  24. Badi H. Baltagi & Peter Egger & Michael Pfafermayr, 2009. "A Generalized Spatial Panel Data Model with Random Effects," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 113, Center for Policy Research, Maxwell School, Syracuse University.
  25. Lanzafame, Matteo & Nogueira, Reginaldo, 2013. "Inflation targeting and interest rates," MPRA Paper 46153, University Library of Munich, Germany.
  26. Clifford Lam & Qiwei Yao & Neil Bathia, 2011. "Estimation of latent factors for high-dimensional time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 31549, London School of Economics and Political Science, LSE Library.
  27. Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0757, Faculty of Economics, University of Cambridge.
  28. Bussière, M. & Chudik, A. & Mehl, A., 2011. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation?," Working papers, Banque de France 336, Banque de France.
  29. Markus Eberhardt & Andrea F. Presbitero, 2013. "This Time They’re Different: Heterogeneity and Nonlinearity in the Relationship between Debt and Growth," Discussion Papers 2013/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  30. Westerlund, Joakim & Urbain, Jean-Pierre, 2013. "On the implementation and use of factor-augmented regressions in panel data," Journal of Asian Economics, Elsevier, Elsevier, vol. 28(C), pages 3-11.
  31. Bertoli, Simone & Fernández-Huertas Moraga, Jesús, 2011. "Multilateral Resistance to Migration," IZA Discussion Papers 5958, Institute for the Study of Labor (IZA).
  32. Shingal, ANIRUDH, 2010. "Services growth and convergence: Getting India’s states together," MPRA Paper 32813, University Library of Munich, Germany.
  33. Pesaran, M. Hashem, 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," IZA Discussion Papers 5037, Institute for the Study of Labor (IZA).
  34. Alexander Chudik & M. Hashem Pesaran, 2013. "Large panel data models with cross-sectional dependence: a survey," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 153, Federal Reserve Bank of Dallas.
  35. Westerlund, Joakim & Reese, Simon, 2014. "Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors," Working Papers, Lund University, Department of Economics 2014:8, Lund University, Department of Economics.
  36. M Hashem Pesaran & Takashi Yamagata, 2012. "Testing CAPM with a Large Number of Assets," Discussion Papers, Department of Economics, University of York 12/05, Department of Economics, University of York.
  37. Markus Eberhardt & Francis Teal, 2010. "Productivity Analysis in Global Manufacturing Production," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade c015_019, DEGIT, Dynamics, Economic Growth, and International Trade.
  38. Matthieu Bussière & Alexander Chudik & Giulia Sestieri, 2012. "Modelling global trade flows: results from a GVAR model," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 119, Federal Reserve Bank of Dallas.
  39. Millo, Giovanni, 2014. "Robust standard error estimators for panel models: a unifying approach," MPRA Paper 54954, University Library of Munich, Germany.
  40. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Testing for Panel Cointegration Using Common Correlated Effects," Discussion Papers, Department of Economics, University of Birmingham 11-16, Department of Economics, University of Birmingham.
  41. M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting economic and financial variables with global VARs," Staff Reports, Federal Reserve Bank of New York 317, Federal Reserve Bank of New York.
  42. Jonathan R. W. Temple & Nicolas Van de Sijpe, 2014. "Foreign Aid and Domestic Absorption," CSAE Working Paper Series 2014-01, Centre for the Study of African Economies, University of Oxford.
  43. Michael Funke & Marc Gronwald, 2009. "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 20906, Hamburg University, Department of Economics.
  44. Sadorsky, Perry, 2014. "The effect of urbanization on CO2 emissions in emerging economies," Energy Economics, Elsevier, Elsevier, vol. 41(C), pages 147-153.
  45. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, Elsevier, vol. 55(3), pages 325-339, April.
  46. Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2014. "A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence," CESifo Working Paper Series 4592, CESifo Group Munich.
  47. Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Working Paper Series, European Central Bank 1574, European Central Bank.
  48. Mastromarco Camilla & Laura Serlenga & Yongcheol Shin, 2013. "Globalisation and technological convergence in the EU," Journal of Productivity Analysis, Springer, Springer, vol. 40(1), pages 15-29, August.
  49. Kazuhiko Hayakawa & Vanessa Smith & Hashem Pesaran, 2014. "Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1412, Faculty of Economics, University of Cambridge.
  50. Debarsy, Nicolas & Ertur, Cem, 2010. "Testing for spatial autocorrelation in a fixed effects panel data model," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 40(6), pages 453-470, November.
  51. Hyungsik Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP63/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  52. Ertur, C. & Musolesi, A., 2013. "Weak and strong cross-sectional dependence: a panel data analysis of international technology diffusion," Working Papers, Grenoble Applied Economics Laboratory (GAEL) 2013-09, Grenoble Applied Economics Laboratory (GAEL).
  53. Delwar Hossain, 2014. "Differential Impacts of Foreign Capital and Remittance Inflows on Domestic Savings in the Developing Countries: A Dynamic Heterogeneous Panel Analysis," Departmental Working Papers, The Australian National University, Arndt-Corden Department of Economics 2014-07, The Australian National University, Arndt-Corden Department of Economics.
  54. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  55. Pesaran, M. H. & Yamagata, T., 2012. "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1210, Faculty of Economics, University of Cambridge.
  56. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 136, Federal Reserve Bank of Dallas.
  57. Salvatore Dell'Erba & Sergio Sola, 2013. "Does Fiscal Policy Affect Interest Rates? Evidence from a Factor-Augmented Panel," IMF Working Papers 13/159, International Monetary Fund.
  58. Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2014. "A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors," DEM Working Papers Series 066, University of Pavia, Department of Economics and Management.
  59. Chudik, Alexander & Fidora, Michael, 2011. "Using the global dimension to identify shocks with sign restrictions," Working Paper Series, European Central Bank 1318, European Central Bank.
  60. Alexander Chudik & Marcel Fratzscher, 2012. "Liquidity, risk and the global transmission of the 2007–08 financial crisis and the 2010–11 sovereign debt crisis title," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 107, Federal Reserve Bank of Dallas.
  61. Westerlund, Joakim & Urbain, Jean-Pierre, 2013. "On the estimation and inference in factor-augmented panel regressions with correlated loadings," Economics Letters, Elsevier, Elsevier, vol. 119(3), pages 247-250.