As serial correlation in time-series analysis, the cross-sectional of dependence/correlation could invalidate inference. In some cases, it could even render inconsistent estimation. This chapter discusses testing procedures in the fixed effects panel data models, including static and dynamic cases鈥...
time effect: the residuals of a given a year may be correlated across differentfirms(cross-sectional dependence) reference: Timothy J. Vogelsang ∗ Heteroskedasticity,autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects (JOE 2012)...
2, Special Issue: Time-Series Cross-Sectional Analysis (Spring 2007), pp. 124-139 (16 pages) Plümper, T., & Troeger, V. E. (2007). Efficient Estimation of Time-Invariant and Rarely Changing Variables in Finite Sample Panel Analyses with Unit Fixed Effects. Political Analysis, 15(2), ...
It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is sm...
Examples:R code used in thetutorialcan be downloaded fromhere. Reference:Licheng Liu, Ye Wang, Yiqing Xu (2021).A Practical Guide to Counterfactual Estimators for Causal Inference with Time-Series Cross-Sectional Data.American Journal of Political Science, conditionally accepted. ...
Written at a level appropriate for anyone who has taken a year of statistics, the book is appropriate as a supplement for graduate courses in regression or linear regression as well as an aid to researchers who have repeated measures or cross-sectional data. 展开 ...
This paper proposes a new test for detecting no cross-sectional correlation in a fixed effects panel data model. The newly proposed test is allowing for the heteroscedastic variances across time. It shows that if the error terms have zero skewness, the new test converges to a standard normal ...
This chapter deals with the most relevant three-dimensional fixed effects model specifications and derives appropriate Least Squares Dummy Variables andWithin estimators for them. The main results of the chapter are also generalized for unbalanced panels, cross-sectional dependence in the error terms, ...
1 Since then, several improvements on SF modeling have led to a large empirical literature, most of which is based on panel data.2 Compared to cross-sectional data, longitudinal data has an important advantage as it allows to follow the same unit over time, thereby allowing to control and...
固定有影响模型fixed effects models