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This paper provides an overview of the existing literature on panel data models with error cross-sectional dependence. We distinguish between spatial dependence and factor structure dependence and we analyse the implications of weak and strong cross-sectional dependence on the properties of the estimators. We consider estimation under strong and weak exogeneity of the regressors for both T fixed and T large cases. Available tests for error cross-sectional dependence and methods for determining the number of factors are discussed in detail. The finite-sample properties of some estimators and statistics are investigated using Monte Carlo experiments.

Item Type: MPRA Paper -

Original Title: Cross-sectional Dependence in Panel Data Analysis-

Language: English-

Keywords: Panel data, Cross-sectional dependence, Spatial dependence, Factor structure, Strong-Weak exogeneity.-

Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - GeneralC - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models-

Autor: Sarafidis, Vasilis


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