Large Panel Data Models with Cross-Sectional Dependence: A Survey
55 Pages Posted: 4 Sep 2013
Date Written: August 30, 2013
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: C310, C330
Suggested Citation: Suggested Citation