Panel data models with cross-sectional dependence: a selective review

被引：1

作者：

XU Qiu-hua ^{[1
]}

CAI Zong-wu ^{[2
,1
]}

FANG Ying ^{[1
]}

机构：

[1] The Wang Yanan Institute for Studies in Economics,MOE Key Laboratory of Econometrics (Xiamen University),Fujian Provincial Key Laboratory of Statistical Science,Xiamen University

[2] Department of Economics,University of Kansas

来源：

Applied Mathematics:A Journal of Chinese Universities | 2016年 / 31卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Panel data models; Cross-sectional dependence; Spatial dependence; Interactive fixed effects; Common factors;

D O I：

暂无

中图分类号：

O212.1 [一般数理统计];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this review, we highlight some recent methodological and theoretical developments in estimation and testing of large panel data models with cross-sectional dependence.The paper begins with a discussion of issues of cross-sectional dependence, and introduces the concepts of weak and strong cross-sectional dependence. Then, the main attention is primarily paid to spatial and factor approaches for modeling cross-sectional dependence for both linear and nonlinear(nonparametric and semiparametric) panel data models. Finally, we conclude with some speculations on future research directions.

引用

页码：127 / 147

页数：21

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