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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. 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.
  2. 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.
  3. Markus Eberhardt & Francis Teal, 2008. "Modeling Technology and Technological Change in Manufacturing: How do Countries Differ?," CSAE Working Paper Series 2008-12, Centre for the Study of African Economies, University of Oxford.
  4. 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.
  5. Chudik, Alexander & Pesaran, Hashem, 2009. "Infinite-dimensional VARs and factor models," Working Paper Series 0998, European Central Bank.
  6. Sean Holly & M. Hashem Pesaran & Takashi Yamagata, 2010. "Spatial and Temporal Diffusion of House Prices in the UK," CESifo Working Paper Series 2913, CESifo Group Munich.
  7. Kazuhiko Hayakawa & Vanessa Smith & 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.
  8. 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.
  9. Badi H. Baltagi & Peter Egger & Michael Pfafermayr, 2009. "A Generalized Spatial Panel Data Model with Random Effects," Center for Policy Research Working Papers 113, Center for Policy Research, Maxwell School, Syracuse University.
  10. Pesaran, M.H. & Smit, L.V. & Yamagata, T., 2007. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," Cambridge Working Papers in Economics 0775, Faculty of Economics, University of Cambridge.
  11. Luciana Juvenal & Ivan Petrella, 2011. "Speculation in the oil market," Working Papers 2011-027, Federal Reserve Bank of St. Louis.
  12. M. Hashem Pesaran & Alexander Chudik, 2011. "Aggregation in large dynamic panels," Globalization and Monetary Policy Institute Working Paper 101, Federal Reserve Bank of Dallas.
  13. Saldías, Martín, 2013. "A market-based approach to sector risk determinants and transmission in the euro area," Working Paper Series 1574, European Central Bank.
  14. 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.
  15. Michele Ca' Zorzi & Alexander Chudik & Alistair Dieppe, 2012. "The perils of aggregating foreign variables in panel data models," Globalization and Monetary Policy Institute Working Paper 111, Federal Reserve Bank of Dallas.
  16. Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo, 2015. "Inference on factor structures in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 184(1), pages 145-157.
  17. 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.
  18. Nicolas DEBARSY (CERPE De Namur) & Cem ERTUR, 2009. "Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model," Working Papers 1546, Orleans Economic Laboratorys, University of Orleans.
  19. 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.
  20. 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.
  21. 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.
  22. Pesaran, M. Hashem, 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," IZA Discussion Papers 5037, Institute for the Study of Labor (IZA).
  23. Temple, Jonathan & van de Sijpe, Nicolas, 2014. "Foreign Aid and Domestic Absorption," CEPR Discussion Papers 10211, C.E.P.R. Discussion Papers.
  24. Cem ERTUR & Antonio MUSOLESI, 2013. "Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion," Working Papers 1961, Orleans Economic Laboratorys, University of Orleans.
  25. 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.
  26. 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.
  27. 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.
  28. Markus Eberhardt & Francis Teal, 2010. "Productivity Analysis in Global Manufacturing Production," DEGIT Conference Papers c015_019, DEGIT, Dynamics, Economic Growth, and International Trade.
  29. 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.
  30. Sadorsky, Perry, 2014. "The effect of urbanization on CO2 emissions in emerging economies," Energy Economics, Elsevier, vol. 41(C), pages 147-153.
  31. Vasilis Sarafidis & Tom Wansbeek, 2012. "Cross-Sectional Dependence in Panel Data Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 483-531, September.
  32. 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.
  33. Shingal, ANIRUDH, 2010. "Services growth and convergence: Getting India’s states together," MPRA Paper 32813, University Library of Munich, Germany.
  34. Ca' Zorzi, Michele & Chudik, Alexander, 2013. "Spatial considerations on the PPP debate," Working Paper Series 1534, European Central Bank.
  35. 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).
  36. Natalia Bailey & Vanessa Smith & Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
  37. 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.
  38. Lanzafame, Matteo & Nogueira, Reginaldo, 2013. "Inflation targeting and interest rates," MPRA Paper 46153, University Library of Munich, Germany.
  39. 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.
  40. Markus Eberhardt & Andrea Filippo Presbitero, 2013. "This Time They're Different: Heterogeneity;and Nonlinearity in the Relationship;between Debt and Growth," Mo.Fi.R. Working Papers 92, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
  41. Bertoli, Simone & Fernández-Huertas Moraga, Jesús, 2011. "Multilateral Resistance to Migration," IZA Discussion Papers 5958, Institute for the Study of Labor (IZA).
  42. 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.
  43. 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.
  44. Pesaran, M. H., 2012. "Testing Weak Cross-Sectional Dependence in Large Panels," Cambridge Working Papers in Economics 1208, Faculty of Economics, University of Cambridge.
  45. Bonizzi, Bruno, 2015. "Institutional Investors Allocation to Emerging Markets: a Panel Approach to Asset Demand," MPRA Paper 61784, University Library of Munich, Germany.
  46. M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting Economic and Financial Variables with Global VARs," CESifo Working Paper Series 2263, CESifo Group Munich.
  47. Chudik, Alexander & Straub, Roland, 2010. "Size, openness, and macroeconomic interdependence," Working Paper Series 1172, European Central Bank.
  48. 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.
  49. 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.
  50. Chudik, Alexander & Fidora, Michael, 2011. "Using the global dimension to identify shocks with sign restrictions," Working Paper Series 1318, European Central Bank.
  51. 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.
  52. 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.
  53. Bussière, Matthieu & Chudik, Alexander & Sestieri, Giulia, 2009. "Modelling global trade flows: results from a GVAR model," Working Paper Series 1087, European Central Bank.
  54. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  55. 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.
  56. 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.
  57. 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.
  58. Reese, Simon & Westerlund, Joakim, 2014. "PANICCA - PANIC on Cross-Section Averages," Working Papers 2015:3, Lund University, Department of Economics.
  59. Ruge-Leiva, Diego-Ivan, 2014. "International R&D Spillovers and Unobserved Common Shocks," MPRA Paper 56718, University Library of Munich, Germany.
  60. 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.
  61. 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.
  62. Hyungsik Roger Moon & Martin Weidner, 2013. "Linear regression for panel with unknown number of factors as interactive fixed effects," CeMMAP working papers CWP49/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  63. Millo, Giovanni, 2014. "Robust standard error estimators for panel models: a unifying approach," MPRA Paper 54954, University Library of Munich, Germany.
  64. 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.
  65. Comunale, Mariarosaria, 2014. "Euro-dollar polarization and heterogeneity in exchange rate pass-throughs within the euro zone," MPRA Paper 57704, University Library of Munich, Germany, revised Aug 2014.
  66. 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.
  67. 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.
  68. 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.
  69. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Research Institute for Market Economy, Sogang University, revised Dec 2011.
  70. Westerlund, Joakim & Reese, Simon, 2014. "Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors," Working Papers 2014:8, Lund University, Department of Economics.
  71. 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.
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