A Principal Components Approach to Cross-Section Dependence in Panels

By Jerry Coakley, Ana‐Maria Fuertes, Ronald Smith. 2002

135 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dadc7aba32a8cacdacd0d4739104bb673d699c6c

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1. Liangjun Su
2. Sainan Jin
3. Elisa Tosetti
4. Yiguo Sun
5. Xun Lu
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Citations in the corpus

• Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns (2005, unknown): “But, as Pesaran (2004) shows, the PC approach proposed by Coakley, Fuertes, and Smith (2002) can still yield inconsistent estimates.”
• Sieve estimation of panel data models with cross section dependence (2012, background): “See Bai (2009), Coakley et al. (2002), Greenaway-McGrevy et al. (2008), Harding (2007), Kapetanios and Pesaran (2005), Moon andWeidner (2008), Pesaran (2004, 2006), Pesaran and Tosetti (2007), Phillips and Sul (2003, 2007), among others, for an overview.”
• FDI and Trade -- Two Way Linkages? (2005, unknown): “23 Readers may also consult Geweke (1984) and Granger (1988).”
• Large Panels with Common Factors and Spatial Correlation (2011, methodology): “…multifactor residual structure can be addressed by using statistical techniques commonly adopted in factor analysis, such as the maximum likelihood (Robertson and Symons (2000); Robertson and Symons (2007)), and the principal components procedures (Coakley, Fuertes, and Smith (2002); Bai (2009)).”
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006, unknown): “Bi = i Ai 1 0 i Ik , Ci = i i 1 0 i Ik ; (6)”
• Multilateral Resistance to Migration (2013, unknown): “Going back to (8), this happens if and only if the allocation matrix αj is an n×n identity matrix, that is there are n nests, one for each destination.”
• Spatial Panel Econometrics (2008, unknown): “…the data are sufficiently rich (and, typically, in large T contexts), the correlation is determined by the model residuals (for further details, see Driscoll and Kraay, 1998, Coakley et al., 2002, Coakley et al., 2005, Hsiao and Pesaran, 2004, Pesaran, 2005 and Kapetanios and Pesaran, 2005).”
• Panels with Nonstationary Multifactor Error Structures (2006, unknown): “Coakley, Fuertes, and Smith (2002) suggest a possible solution to the problem using the method of Stock and Watson (2002).”