Limit theory for panel data models with cross sectional dependence and sequential exogeneity
From MaRDI portal
Publication:2439864
DOI10.1016/j.jeconom.2013.02.004zbMath1283.62066OpenAlexW2004778049WikidataQ30651230 ScholiaQ30651230MaRDI QIDQ2439864
Ingmar R. Prucha, Guido M. Kuersteiner
Publication date: 18 March 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc3686532
spatialcentral limit theoremMLEGMMpanelcross-sectional dependencesocial interactionmultinomial choicespatial martingale difference sequence
Asymptotic properties of nonparametric inference (62G20) Martingales with discrete parameter (60G42) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05)
Related Items (16)
Kernel estimation of hazard functions when observations have dependent and common covariates ⋮ JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS ⋮ A DECOMPOSITION ANALYSIS OF DIFFUSION OVER A LARGE NETWORK ⋮ An incidental parameters free inference approach for panels with common shocks ⋮ Econometric inference on a large Bayesian game with heterogeneous beliefs ⋮ Inference in a similarity-based spatial autoregressive model ⋮ Modified first-difference estimator in a panel data model with unobservable factors both in the errors and the regressors when the time dimension is small ⋮ Limit theory for panel data models with cross sectional dependence and sequential exogeneity ⋮ ESTIMATION OF SPATIAL AUTOREGRESSIONS WITH STOCHASTIC WEIGHT MATRICES ⋮ Stable limit theorems for empirical processes under conditional neighborhood dependence ⋮ Spatial dynamic game models for coevolution of intertemporal economic decision-making and spatial networks ⋮ Linear IV regression estimators for structural dynamic discrete choice models ⋮ Unified inference for nonlinear factor models from panels with fixed and large time span ⋮ SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS ⋮ LIMIT THEOREMS FOR FACTOR MODELS ⋮ Efficient closed-form estimation of large spatial autoregressions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimation of spatial autoregressive panel data models with fixed effects
- Another look at the instrumental variable estimation of error-components models
- Guest editorial. Analysis of spatially dependent data
- Panel data models with spatially correlated error components
- Evaluating latent and observed factors in macroeconomics and finance
- Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
- Central limit theorems and uniform laws of large numbers for arrays of random fields
- Panel data models with multiple time-varying individual effects
- On spatial processes and asymptotic inference under near-epoch dependence
- Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
- Testing for heteroskedasticity and spatial correlation in a random effects panel data model
- On the central limit theorem for stationary mixing random fields
- An introduction to the theory of point processes
- Martingale convergence to mixtures of infinitely divisible laws
- Uses of exchangeability
- On mixing and stability of limit theorems
- Necessary and sufficient conditions for the conditional central limit theorem
- Limit theory for panel data models with cross sectional dependence and sequential exogeneity
- Discrete Choice with Social Interactions
- Exogeneity
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Sequential Estimation of Dynamic Discrete Games
- Partial likelihood
- Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
- Topics in Advanced Econometrics
- Panel Data Models With Interactive Fixed Effects
- Cross-Section Regression with Common Shocks
- Estimating Dynamic Models of Imperfect Competition
- Transition Modeling and Econometric Convergence Tests
- GMM estimation of linear panel data models with time-varying individual effects
- On the asymptotic distribution of the Moran \(I\) test stastistic with applications
This page was built for publication: Limit theory for panel data models with cross sectional dependence and sequential exogeneity
