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

by Chudik, A. & Pesaran, M.H. & Tosetti, E.

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  1. Shingal, ANIRUDH, 2010. "Services growth and convergence: Getting India’s states together," MPRA Paper 32813, University Library of Munich, Germany.
  2. Vasilis Sarafidis & Tom Wansbeek, 2012. "Cross-Sectional Dependence in Panel Data Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 483-531, September.
  3. Mohaddes, Kamiar & Pesaran, M. Hashem, 2015. "Country-specific oil supply shocks and the global economy: a counterfactual analysis," Globalization and Monetary Policy Institute Working Paper 242, Federal Reserve Bank of Dallas.
  4. Özbuğday, Fatih Cemil & Erbas, Bahar Celikkol, 2015. "How effective are energy efficiency and renewable energy in curbing CO2 emissions in the long run? A heterogeneous panel data analysis," Energy, Elsevier, vol. 82(C), pages 734-745.
  5. Bonizzi, Bruno, 2015. "Institutional Investors Allocation to Emerging Markets: a Panel Approach to Asset Demand," MPRA Paper 61784, University Library of Munich, Germany.
  6. Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013. "Risks of Large Portfolios," Papers 1302.0926, arXiv.org.
  7. Giampaolo Arachi & Valeria Bucci & Alessandra Casarico, 2015. "Tax structure and macroeconomic performance," Working Papers 074, "Carlo F. Dondena" Centre for Research on Social Dynamics (DONDENA), Università Commerciale Luigi Bocconi.
  8. James Wolter, 2015. "Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates," Economics Series Working Papers 761, University of Oxford, Department of Economics.
  9. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization and Monetary Policy Institute Working Paper 136, Federal Reserve Bank of Dallas.
  10. Jonathan Temple & Nicolas Van de Sijpe, 2014. "Foreign Aid and Domestic Absorption," CESifo Working Paper Series 5029, CESifo Group Munich.
  11. Matthieu Bussière & Alexander Chudik & Giulia Sestieri, 2012. "Modelling global trade flows: results from a GVAR model," Globalization and Monetary Policy Institute Working Paper 119, Federal Reserve Bank of Dallas.
  12. Juvenal, Luciana & Petrella, Ivan, 2014. "Speculation in the Oil Market," CEPR Discussion Papers 9808, C.E.P.R. Discussion Papers.
  13. Chudik, Alexander & Fidora, Michael, 2011. "Using the global dimension to identify shocks with sign restrictions," Working Paper Series 1318, European Central Bank.
  14. Pesaran, M.H. & Chudik, A., 2011. "Aggregation in Large Dynamic Panels," Cambridge Working Papers in Economics 1118, Faculty of Economics, University of Cambridge.
  15. James Mitchell & George Kapetanios & Yongcheol Shin, 2012. "A Nonlinear Panel Data Model of Cross-Sectional Dependence," Discussion Papers in Economics 12/01, Department of Economics, University of Leicester.
  16. S Holly & M Hashem Pesaran & T Yamagata, . "Spatial and Temporal Diffusion of House Prices in the UK," Discussion Papers 09/32, Department of Economics, University of York.
  17. Wolter, James Lewis, 2016. "Kernel estimation of hazard functions when observations have dependent and common covariates," Journal of Econometrics, Elsevier, vol. 193(1), pages 1-16.
  18. Ruge-Leiva, Diego-Ivan, 2014. "International R&D Spillovers and Unobserved Common Shocks," MPRA Paper 56718, University Library of Munich, Germany.
  19. Chudik, Alexander & Straub, Roland, 2010. "Size, openness, and macroeconomic interdependence," Working Paper Series 1172, European Central Bank.
  20. Markus Eberhardt & Andrea Presbitero, 2013. "This Time They Are Different; Heterogeneity and Nonlinearity in the Relationship Between Debt and Growth," IMF Working Papers 13/248, International Monetary Fund.
  21. Olivier Damette & Mathilde Maurel & Michael A. Stemmer, 2016. "What does it take to grow out of recession? An error-correction approach towards growth convergence of European and transition countries," Documents de travail du Centre d'Economie de la Sorbonne 16041, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  22. Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
  23. Westerlund, Joakim & Reese, Simon, 2014. "Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors," Working Papers 2014:8, Lund University, Department of Economics, revised 27 Jan 2014.
  24. Martín Saldías, 2011. "A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area," Working Papers w201130, Banco de Portugal, Economics and Research Department.
  25. Pesaran, M. Hashem & Yamagata, Takashi, 2012. "Testing CAPM with a Large Number of Assets," IZA Discussion Papers 6469, Institute for the Study of Labor (IZA).
  26. Eberhardt, Markus & Helmers, Christian & Strauss, Hubert, 2010. "Do spillovers matter when estimating private returns to R&D?," Economic and Financial Reports 2010/1, European Investment Bank, Economics Department.
  27. Mariarosaria Comunale, 2015. "Euro-Dollar Polarization and Heterogeneity in Exchange Rate Pass-Throughs Within the Euro Zone," CEIS Research Paper 333, Tor Vergata University, CEIS, revised 13 Mar 2015.
  28. Ca' Zorzi, Michele & Chudik, Alexander, 2013. "Spatial considerations on the PPP debate," Working Paper Series 1534, European Central Bank.
  29. Huang, Yongfu, 2014. "Drivers of rising global energy demand: The importance of spatial lag and error dependence," Energy, Elsevier, vol. 76(C), pages 254-263.
  30. Ruge Leiva, Diego Ivan, 2015. "International R&D Spillovers and other Unobserved Common Spillovers and Shocks," MPRA Paper 63500, University Library of Munich, Germany.
  31. Clifford Lam & Qiwei Yao & Neil Bathia, 2011. "Estimation of latent factors for high-dimensional time series," LSE Research Online Documents on Economics 31549, London School of Economics and Political Science, LSE Library.
  32. Hyungsik Roger Moon & Martin Weidner, 2014. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers CWP47/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  33. J. B. Qian, 2016. "Estimation of Panel Model with Spatial Autoregressive Error and Common Factors," Computational Economics, Society for Computational Economics, vol. 47(3), pages 367-399, March.
  34. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2012. "A Generalized Spatial Panel Data Model with Random Effects," CESifo Working Paper Series 3930, CESifo Group Munich.
  35. Natalia Bailey & Sean Holly & N. Hashem Pesaran, 2013. "A Two Stage Approach to Spatiotemporal Analysis with Strong and weak cross Sectional Dependence," Cambridge Working Papers in Economics 1362, Faculty of Economics, University of Cambridge.
  36. Michael Beenstock & Daniel Felsenstein & Ziv Rubin, 2015. "Visa waivers, multilateral resistance and international tourism: some evidence from Israel," Letters in Spatial and Resource Sciences, Springer, vol. 8(3), pages 357-371, November.
  37. Simone Bertoli & Jesus Fernandez-Huertas Moraga, 2011. "Multilateral resistance to migration," Post-Print halshs-00670886, HAL.
  38. Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge.
  39. Alexander Chudik & M. Hashem Pesaran, 2013. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Globalization and Monetary Policy Institute Working Paper 146, Federal Reserve Bank of Dallas.
  40. 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.
  41. Diego-Ivan Ruge-Leiva, 2015. "International R&D Spillovers and other Unobserved Common Spillovers and Shocks," Papers 1502.06805, arXiv.org.
  42. Westerlund, Joakim & Urbain, Jean-Pierre, 2013. "On the estimation and inference in factor-augmented panel regressions with correlated loadings," Economics Letters, Elsevier, vol. 119(3), pages 247-250.
  43. Ca' Zorzi, Michele & Chudik, Alexander & Dieppe, Alistair, 2012. "The perils of aggregating foreign variables in panel data models," Working Paper Series 1444, European Central Bank.
  44. Millo, Giovanni, 2014. "Robust standard error estimators for panel models: a unifying approach," MPRA Paper 54954, University Library of Munich, Germany.
  45. Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015. "Inference on factor structures in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
  46. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2011. "Cross-sectional dependence robust block bootstrap panel unit root tests," Journal of Econometrics, Elsevier, vol. 163(1), pages 85-104, July.
  47. Michael Funke & Marc Gronwald, 2009. "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," CESifo Working Paper Series 2692, CESifo Group Munich.
  48. 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.
  49. Westerlund, Joakim, 2015. "The effect of recursive detrending on panel unit root tests," Journal of Econometrics, Elsevier, vol. 185(2), pages 453-467.
  50. Bussiere Matthieu & Chudik Alexander & Mehl Arnaud, 2013. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro’s creation?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 48, April.
  51. Cem ERTUR & Antonio MUSOLESI, 2013. "Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion," LEO Working Papers / DR LEO 1961, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  52. Markus Eberhardt & Francis Teal, 2010. "Productivity Analysis in Global Manufacturing Production," DEGIT Conference Papers c015_019, DEGIT, Dynamics, Economic Growth, and International Trade.
  53. Reese, Simon & Westerlund, Joakim, 2014. "PANICCA - PANIC on Cross-Section Averages," Working Papers 2015:3, Lund University, Department of Economics, revised 24 Mar 2015.
  54. Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
  55. Kazuhiko Hayakawa & Vanessa Smith & M. Hashem Pesaran, 2014. "Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects," Cambridge Working Papers in Economics 1412, Faculty of Economics, University of Cambridge.
  56. Pesaran, M. Hashem, 2012. "Testing Weak Cross-Sectional Dependence in Large Panels," IZA Discussion Papers 6432, Institute for the Study of Labor (IZA).
  57. Chudik, Alexander & Fratzscher, Marcel, 2012. "Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis," CEPR Discussion Papers 8787, C.E.P.R. Discussion Papers.
  58. Nicolas DEBARSY (CERPE De Namur) & Cem ERTUR, 2009. "Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model," LEO Working Papers / DR LEO 1546, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  59. Chudik, Alexander & Fratzscher, Marcel, 2010. "Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model," CEPR Discussion Papers 8093, C.E.P.R. Discussion Papers.
  60. Daniel Goya, 2014. "The Multiple Impacts of the Exchange Rate on Export Diversification," Cambridge Working Papers in Economics 1436, Faculty of Economics, University of Cambridge.
  61. Javier Hidalgo & Marcia M Schafgans, 2015. "Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence," STICERD - Econometrics Paper Series /2015/583, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  62. Pesaran, M. Hashem, 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," IZA Discussion Papers 5037, Institute for the Study of Labor (IZA).
  63. Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
  64. Bernard Candelpergher & Michel Miniconi & Florian Pelgrin, 2015. "Long-memory process and aggregation of AR(1) stochastic processes: A new characterization," Working Papers hal-01166527, HAL.
  65. Badi H. Baltagi & Qu Feng & Chihwa Kao, 2015. "Estimation of Heterogeneous Panels with Structural Breaks," Center for Policy Research Working Papers 179, Center for Policy Research, Maxwell School, Syracuse University.
  66. 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.
  67. Dimitrios Bakas & Theodore Panagiotidis & Gianluigi Pelloni, 2016. "On the Significance of Labor Reallocation for European Unemployment: Evidence from a Panel of 15 Countries," Working Paper Series 16-01, The Rimini Centre for Economic Analysis.
  68. Pesaran, M. H. & Yamagata, T., 2012. "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics 1210, Faculty of Economics, University of Cambridge.
  69. Johan Blomquist & Joakim Westerlund, 2016. "Panel bootstrap tests of slope homogeneity," Empirical Economics, Springer, vol. 50(4), pages 1359-1381, June.
  70. Daniel Felsenstein & Michael Beenstock & Ziv Rubin, 2015. "Visa Waivers, Multilateral Resistance and International Tourism: Some Evidence from Israel," ERSA conference papers ersa15p187, European Regional Science Association.
  71. Sungyup Chung, 2016. "Assessing the regional business cycle asymmetry in a multi-level structure framework: a study of the top 20 US MSAs," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 229-252, January.
  72. Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo Group Munich.
  73. Azémar, Céline & Desbordes, Rodolphe & Wooton, Ian, 2015. "Country Size and Corporate Tax Rate: Rationale and Empirics," CEPR Discussion Papers 10800, C.E.P.R. Discussion Papers.
  74. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
    • Jörg Breitung & In Choi, 2013. "Factor models," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 11, pages 249-265 Edward Elgar Publishing.
  75. 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 107, Federal Reserve Bank of Dallas.
  76. Floro, Danvee & van Roye, Björn, 2015. "Threshold Effects of Financial Stress on Monetary Policy Rules: A Panel Data Analysis," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112840, Verein für Socialpolitik / German Economic Association.
  77. Schanne, Norbert, 2015. "A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany," IAB Discussion Paper 201513, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  78. Burridge, Peter & Iacone, Fabrizio & Lazarová, Štěpána, 2015. "Spatial effects in a common trend model of US city-level CPI," Regional Science and Urban Economics, Elsevier, vol. 54(C), pages 87-98.
  79. Sadorsky, Perry, 2014. "The effect of urbanization on CO2 emissions in emerging economies," Energy Economics, Elsevier, vol. 41(C), pages 147-153.
  80. Westerlund, Joakim & Urbain, Jean-Pierre, 2013. "On the implementation and use of factor-augmented regressions in panel data," Journal of Asian Economics, Elsevier, vol. 28(C), pages 3-11.
  81. Hassan, Gazi & Cooray, Arusha, 2012. "The effect of female and male health on economic growth: cross-country evidence within a production function framework," MPRA Paper 40083, University Library of Munich, Germany.
  82. Groen, Jan J.J. & Kapetanios, George, 2016. "Revisiting useful approaches to data-rich macroeconomic forecasting," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 221-239.
  83. Eberhardt, Markus & Presbitero, Andrea F., 2015. "Public debt and growth: Heterogeneity and non-linearity," Journal of International Economics, Elsevier, vol. 97(1), pages 45-58.
  84. Xu, Xingbai & Lee, Lung-fei, 2015. "Maximum likelihood estimation of a spatial autoregressive Tobit model," Journal of Econometrics, Elsevier, vol. 188(1), pages 264-280.
  85. 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 1416, European Central Bank.
  86. Lanzafame, Matteo & Nogueira, Reginaldo, 2013. "Inflation targeting and interest rates," MPRA Paper 46153, University Library of Munich, Germany.
  87. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Testing for Panel Cointegration Using Common Correlated Effects," Discussion Papers 11-16, Department of Economics, University of Birmingham.
  88. Mastromarco Camilla & Laura Serlenga & Yongcheol Shin, 2013. "Globalisation and technological convergence in the EU," Journal of Productivity Analysis, Springer, vol. 40(1), pages 15-29, August.
  89. 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 2012/9, INRA UMR CESAER, Centre d'’Economie et Sociologie appliquées à l'’Agriculture et aux Espaces Ruraux.
  90. Hashem Pesaran & Ambrogio Cesa-Bianchi & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," Cambridge Working Papers in Economics 1407, Faculty of Economics, University of Cambridge.
  91. 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 2014-07, The Australian National University, Arndt-Corden Department of Economics.
  92. Hyungsik Roger Moon & Martin Weidner, 2014. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP35/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  93. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  94. Ignace De Vos & Gerdie Everaert, 2016. "Bias-Corrected Common Correlated Effects Pooled Estimation In Homogeneous Dynamic Panels," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/920, Ghent University, Faculty of Economics and Business Administration.
  95. António Afonso & José Alves, 2014. "The Role of Government Debt in Economic Growth," Working Papers Department of Economics 2014/16, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  96. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2014. "Testing for Panel Cointegration using Common Correlated Effects Estimators," Discussion Papers 15-02, Department of Economics, University of Birmingham.
  97. Westerlund, Joakim & Urbain, Jean-Pierre, 2015. "Cross-sectional averages versus principal components," Journal of Econometrics, Elsevier, vol. 185(2), pages 372-377.
  98. 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.
  99. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, vol. 55(3), pages 325-339, April.
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