IDEAS home Printed from https://ideas.repec.org/p/brh/wpaper/0615.html
   My bibliography  Save this paper

Asymptotics for panel models with common shocks

Author

Listed:
  • Chihwa Kao

    ()

  • Lorenzo Trapani

    ()

  • Giovanni Urga

    ()

Abstract

This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error terms. Several characteristics of the panel are considered: cross sectional and time series dimensions can either be fixed or large; factors can either be observable or unobservable; the factor model can describe either cointegration relationship or a spurious regression, and we also consider the stationary case. We derive the rate of convergence and the distribution limits for the ordinary least squares (OLS) estimates of the model parameters under all the aforementioned cases.

Suggested Citation

  • Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "Asymptotics for panel models with common shocks," Working Papers 0615, Department of Economics and Technology Management, University of Bergamo.
  • Handle: RePEc:brh:wpaper:0615
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10446/428
    Download Restriction: no

    Other versions of this item:

    More about this item

    Keywords

    Panel data; common shocks; cross-sectional dependence; asymptotics.;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:brh:wpaper:0615. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (University of Bergamo Library). General contact details of provider: http://edirc.repec.org/data/diberit.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.