Factor residuals in SUR regressions: estimating panels allowing for cross sectional correlation

By D. Robertson, J. Symons. 2000

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Random Coefficient Panel Data Models (2004, methodology): “(55) The mean group estimator is consistent when both N and T →∞.”
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006, background): “where ~ = (E ( i) ; E ( i))= ( ; ) : (25) Therefore, assuming that Rank(~ ) = m we obtain ft CC0 1 C zwt Bwdt p ! 0, as N !1: This suggests using hwt = (dt; z 0 wt) 0 as observable proxies for ft.”
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)).”
A test of cross section dependence for a linear dynamic panel model with regressors (2009, background): “…of unobserved factors and individual-speci c factor loadings that give rise to heterogenous cross section dependence (see Forni and Reichlin, 1998, Robertson and Symons, 2000, Phillips and Sul, 2003, Stock and Watson, 2002, Bai and Ng, 2004, Moon and Perron, 2004, Pesaran, 2006, among others).”