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On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty

Author

Listed:
  • Ciaran Driver

    ()

  • Lorenzo Trapani

    ()

  • Giovanni Urga

    ()

Abstract

In this paper, we provide a coherent theoretical investigation of the relationship between cross-section and time series measures of uncer- tainty, which are often employed as perfect substitutes in empirical applica- tions. The main .nding of our analysis is that there exists an ambiguous sign in the discrepancy between the two measures of uncertainty arising from the presence of cross-sectional dependence amongst individuals. Thus our study underpins the importance of accounting for cross-sectional dependence, in line with recent inferential theory of panel data models.

Suggested Citation

  • Ciaran Driver & Lorenzo Trapani & Giovanni Urga, 2008. "On the Relationship Between Cross-Sectional and Time Series Measures of Uncertainty," Working Papers 0803, Department of Economics and Technology Management, University of Bergamo.
  • Handle: RePEc:brh:wpaper:0803
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    File URL: http://hdl.handle.net/10446/411
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    More about this item

    Keywords

    Cross-section and Time series; Expectations; Uncertainty; GARCH Models;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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