Large Panel Data Models with Cross-Sectional Dependence: A Survey

55 Pages Posted: 27 Aug 2013

See all articles by Alexander Chudik

Alexander Chudik

Federal Reserve Banks - Federal Reserve Bank of Dallas

M. Hashem Pesaran

University of Southern California - Department of Economics; University of Cambridge - Trinity College (Cambridge)

Multiple version iconThere are 2 versions of this paper

Date Written: August 9, 2013

Abstract

This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a review of the concepts of weak and strong cross-sectional dependence, and discusses the exponent of cross-sectional dependence that characterizes the different degrees of cross-sectional dependence. It considers a number of alternative estimators for static and dynamic panel data models, distinguishing between factor and spatial models of cross-sectional dependence. The paper also provides an overview of tests of independence and weak cross-sectional dependence.

Keywords: Large panels, weak and strong cross-sectional dependence, factor structure, spatial dependence, tests of cross-sectional dependence

JEL Classification: C31, C33

Suggested Citation

Chudik, Alexander and Pesaran, M. Hashem, Large Panel Data Models with Cross-Sectional Dependence: A Survey (August 9, 2013). CAFE Research Paper No. 13.15, Available at SSRN: https://ssrn.com/abstract=2316333 or http://dx.doi.org/10.2139/ssrn.2316333

Alexander Chudik

Federal Reserve Banks - Federal Reserve Bank of Dallas ( email )

2200 North Pearl Street
PO Box 655906
Dallas, TX 75265-5906
United States

M. Hashem Pesaran (Contact Author)

University of Southern California - Department of Economics

3620 South Vermont Ave. Kaprielian (KAP) Hall 300
Los Angeles, CA 90089
United States

University of Cambridge - Trinity College (Cambridge) ( email )

United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
415
Abstract Views
1,607
rank
61,935
PlumX Metrics