Exponent of Cross-sectional Dependence for Residuals

Exponent of Cross-sectional Dependence: Estimation and Inference

Exponent of Cross-sectional Dependence: Estimation and Inference An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of crosssectional dependence and how such measures are related to the behaviour of...

Supplementary Appendices to: Exponent of Cross-sectional Dependence: Estimation and Inference

Dynamic Factor Extraction of Cross-Sectional Dependence

Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor based cross-sectional dependence paradigm of Bai and Ng (2004) but suggests alternative factor extraction methods. Some theoretical results for these methods are provided. Further, a detailed Monte Carlo study of these methods for multi...

Series Estimation under Cross-sectional Dependence

This paper develops an asymptotic theory of the series estimation under general crosssectional dependence and heterogeneity, covering both nonparametric and semiparametric estimates. A uniform rate of consistency, asymptotic normality and sufficient conditions for the √ n rate of convergence are established. A new data-driven studentization that dispenses with the need for "distance measures", ...

Bootstrapping factor models with cross sectional dependence

We consider bootstrap methods for factor-augmented regressions with cross sectional dependence among idiosyncratic errors. This is important to capture the bias of the OLS estimator derived recently by Gonçalves and Perron (2014). We first show that a common approach of resampling cross sectional vectors over time is invalid in this context because it induces a zero bias. We then propose the cr...