Cross-section Regression with Common Shocks
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Note: CFP 1153.
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Other versions of this item:
- Donald W. K. Andrews, 2005. "Cross-Section Regression with Common Shocks," Econometrica, Econometric Society, vol. 73(5), pages 1551-1585, September.
- Donald W.K. Andrews, 2004. "Cross-section Regression with Common Shocks," Yale School of Management Working Papers ysm401, Yale School of Management.
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More about this item
Keywords
Asymptotics; Common shocks; Dependence; Exchangeability; Factor model; Inconsistency; regression;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-10-12 (Econometrics)
- NEP-FIN-2003-10-12 (Finance)
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