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

by Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti

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  1. 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.
  2. Ca' Zorzi, Michele & Chudik, Alexander, 2013. "Spatial considerations on the PPP debate," Working Paper Series 1534, European Central Bank.
  3. Palm Franz C. & Smeekes Stephan & Urbain Jean-Pierre, 2008. "Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests," Research Memorandum 048, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  4. 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.
  5. Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge.
  6. 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.
  7. Bussière, M. & Chudik, A. & Mehl, A., 2011. "How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation?," Working papers 336, Banque de France.
  8. 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.
  9. Juvenal, Luciana & Petrella, Ivan, 2014. "Speculation in the Oil Market," CEPR Discussion Papers 9808, C.E.P.R. Discussion Papers.
  10. Kazuhiko Hayakawa & M. Hashem Pesaran & L. Vanessa Smith, 2014. "Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects," CESifo Working Paper Series 4822, CESifo Group Munich.
  11. Ruge-Leiva, Diego-Ivan, 2014. "International R&D Spillovers and Unobserved Common Shocks," MPRA Paper 56718, University Library of Munich, Germany.
  12. Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008. "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics 0807, Faculty of Economics, University of Cambridge.
  13. Diego-Ivan Ruge-Leiva, 2015. "International R&D Spillovers and other Unobserved Common Spillovers and Shocks," Papers 1502.06805, arXiv.org.
  14. 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.
  15. 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].
  16. Alexander Chudik & M. Hashem Pesaran, 2013. "Large panel data models with cross-sectional dependence: a survey," Globalization and Monetary Policy Institute Working Paper 153, Federal Reserve Bank of Dallas.
  17. Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "Spatial and Temporal Diffusion of House Prices in the UK," IZA Discussion Papers 4694, Institute for the Study of Labor (IZA).
  18. Simone Bertoli & Jesus Fernandez-Huertas Moraga, 2011. "Multilateral resistance to migration," Post-Print halshs-00670886, HAL.
  19. 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.
  20. 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.
  21. 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.
  22. Baltagi, Badi H. & Feng, Qu & Kao, Chihwa, 2016. "Estimation of heterogeneous panels with structural breaks," Journal of Econometrics, Elsevier, vol. 191(1), pages 176-195.
  23. 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.
  24. Johan Blomquist & Joakim Westerlund, 2016. "Panel bootstrap tests of slope homogeneity," Empirical Economics, Springer, vol. 50(4), pages 1359-1381, June.
  25. Jonathan Temple & Nicolas Van de Sijpe, 2014. "Foreign Aid and Domestic Absorption," CESifo Working Paper Series 5029, CESifo Group Munich.
  26. Kamiar Mohaddes & M. Hashem Pesaran, 2015. "Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis," CESifo Working Paper Series 5367, CESifo Group Munich.
  27. 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.
  28. 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.
  29. Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2014. "A Two Stage Approach to Spatiotemporal Analysis with Strong and Weak Cross-Sectional Dependence," CESifo Working Paper Series 4592, CESifo Group Munich.
  30. Francis Teal & Markus Eberhardt, 2010. "Productivity Analysis in Global Manufacturing Production," Economics Series Working Papers 515, University of Oxford, Department of Economics.
  31. M Hashem Pesaran & Takashi Yamagata, 2012. "Testing CAPM with a Large Number of Assets," Discussion Papers 12/05, Department of Economics, University of York.
  32. Chudik, Alexander & Fidora, Michael, 2011. "Using the global dimension to identify shocks with sign restrictions," Working Paper Series 1318, European Central Bank.
  33. Pesaran, M.H. & Chudik, A., 2011. "Aggregation in Large Dynamic Panels," Cambridge Working Papers in Economics 1118, Faculty of Economics, University of Cambridge.
  34. 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.
  35. Gazi Hassan & Arusha Cooray, 2012. "The effect of female and male health on economic growth: cross-country evidence within a production function framework," Economics Working Papers wp12-07, School of Economics, University of Wollongong, NSW, Australia.
  36. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," IDB Publications (Working Papers) 86257, Inter-American Development Bank.
  37. Pesaran, Hashem & Chudik, Alexander, 2013. "Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors," Cambridge Working Papers in Economics 1317, Faculty of Economics, University of Cambridge.
  38. 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.
  39. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
  40. 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.
  41. 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.
  42. 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.
  43. 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.
  44. Camilla Mastromarco & Laura Serlenga & Yongcheol Shin, 2012. "Globalisation and Technological Convergence in the EU," SERIES 0041, Dipartimento di Scienze economiche e metodi matematici - Università di Bari, revised Mar 2012.
  45. 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.
  46. Chudik, Alexander & Straub, Roland, 2010. "Size, openness, and macroeconomic interdependence," Working Paper Series 1172, European Central Bank.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. Pesaran, M.H., 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," Cambridge Working Papers in Economics 1033, Faculty of Economics, University of Cambridge.
  54. Pesaran, M. H., 2012. "Testing Weak Cross-Sectional Dependence in Large Panels," Cambridge Working Papers in Economics 1208, Faculty of Economics, University of Cambridge.
  55. Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi, 2007. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," IZA Discussion Papers 3254, Institute for the Study of Labor (IZA).
  56. Debarsy, Nicolas & Ertur, Cem, 2010. "Testing for spatial autocorrelation in a fixed effects panel data model," Regional Science and Urban Economics, Elsevier, vol. 40(6), pages 453-470, November.
  57. Kapetanios, George & Mitchell, James & Shin, Yongcheol, 2014. "A nonlinear panel data model of cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 179(2), pages 134-157.
  58. Millo, Giovanni, 2014. "Robust standard error estimators for panel models: a unifying approach," MPRA Paper 54954, University Library of Munich, Germany.
  59. Westerlund, Joakim, 2015. "The effect of recursive detrending on panel unit root tests," Journal of Econometrics, Elsevier, vol. 185(2), pages 453-467.
  60. Azémar, Céline & Desbordes, Rodolphe & Wooton, Ian, 2015. "Country Size and Corporate Tax Rate : Rationale and Empirics," Discussion paper series HIAS-E-11, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  61. 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.
  62. 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.
  63. 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.
  64. Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4534-4555.
  65. Shingal, ANIRUDH, 2010. "Services growth and convergence: Getting India’s states together," MPRA Paper 32813, University Library of Munich, Germany.
  66. 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.
  67. 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.
  68. Jan Ditzen, 2016. "xtdcce: Estimating Dynamic Common Correlated Effects in Stata," SEEC Discussion Papers 1601, Spatial Economics and Econometrics Centre, Heriot Watt University.
  69. Hyungsik Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers CWP63/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  70. Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015. "Inference on factor structures in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
  71. 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.
  72. Sarafidis, Vasilis & Wansbeek, Tom, 2010. "Cross-sectional Dependence in Panel Data Analysis," MPRA Paper 20367, University Library of Munich, Germany.
  73. 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.
  74. 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.
  75. 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.
  76. 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.
  77. Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
  78. 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.
  79. 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.
  80. 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.
  81. Ruge Leiva, Diego Ivan, 2015. "International R&D Spillovers and other Unobserved Common Spillovers and Shocks," MPRA Paper 63500, University Library of Munich, Germany.
  82. Lanzafame, Matteo & Nogueira, Reginaldo, 2013. "Inflation targeting and interest rates," MPRA Paper 46153, University Library of Munich, Germany.
  83. 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.
  84. Reese, Simon & Westerlund, Joakim, 2014. "PANICCA - PANIC on Cross-Section Averages," Working Papers 2015:3, Lund University, Department of Economics, revised 24 Mar 2015.
  85. 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.
  86. Bonizzi, Bruno, 2015. "Institutional Investors Allocation to Emerging Markets: a Panel Approach to Asset Demand," MPRA Paper 61784, University Library of Munich, Germany.
  87. 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.
  88. 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.
  89. 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.
  90. 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.
  91. 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.
  92. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model," Working Paper Series 1285, European Central Bank.
  93. Westerlund, Joakim & Urbain, Jean-Pierre, 2015. "Cross-sectional averages versus principal components," Journal of Econometrics, Elsevier, vol. 185(2), pages 372-377.
  94. 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.
  95. 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.
  96. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  97. 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.
  98. Sadorsky, Perry, 2014. "The effect of urbanization on CO2 emissions in emerging economies," Energy Economics, Elsevier, vol. 41(C), pages 147-153.
  99. 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.
  100. 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.
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