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date: 28 May 2020

Abstract and Keywords

This chapter provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The chapter begins with a review of the concepts of weak and strong cross-sectional dependence, and discusses the exponent of cross-sectional dependence that characterizes the different degrees of cross-sectional dependence. It considers a number of alternative estimators for static and dynamic panel data models, distinguishing between factor and spatial models of cross-sectional dependence. The chapter also provides an overview of tests of independence and weak cross-sectional dependence.

Keywords: large panels, weak and strong cross-sectional dependence, factor structure, spatial dependence, tests of cross-sectional dependence

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