IDEAS home Printed from
   My bibliography  Save this paper

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


  • Ciaran Driver


  • Lorenzo Trapani


  • Giovanni Urga



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

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    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


    Access and download statistics


    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:0803. 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: .

    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.