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https://hdl.handle.net/10419/58426
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bailey, Natalia | en |
dc.contributor.author | Kapetanios, George | en |
dc.contributor.author | Pesaran, Hashem | en |
dc.date.accessioned | 2012-05-08 | - |
dc.date.accessioned | 2012-06-15T07:34:54Z | - |
dc.date.available | 2012-06-15T07:34:54Z | - |
dc.date.issued | 2012 | - |
dc.identifier.pi | urn:nbn:de:101:1-2012042310152 | en |
dc.identifier.uri | http://hdl.handle.net/10419/58426 | - |
dc.description.abstract | An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such measures are related to the behaviour of the aggregates defined as cross-sectional averages. We endeavour to determine the rate at which the cross-sectional weighted average of a set of variables appropriately demeaned, tends to zero. One parameterisation sets this to be O(N^2α-2), for 1/2 < α ≤ 1. Given the fashion in which it arises, we refer to as the exponent of cross-sectional dependence. We derive an estimator of from the estimated variance of the cross-sectional average of the variables under consideration. We propose bias corrected estimators, derive their asymptotic properties and consider a number of extensions. We include a detailed Monte Carlo study supporting the theoretical results. Finally, we undertake an empirical investigation of using the S&P 500 data-set, and a large number of macroeconomic variables across and within countries. | en |
dc.language.iso | eng | en |
dc.publisher | |aInstitute for the Study of Labor (IZA) |cBonn | en |
dc.relation.ispartofseries | |aIZA Discussion Papers |x6318 | en |
dc.subject.jel | C21 | en |
dc.subject.jel | C32 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | cross correlations | en |
dc.subject.keyword | cross-sectional dependence | en |
dc.subject.keyword | cross-sectional averages | en |
dc.subject.keyword | weak and strong factor models | en |
dc.subject.keyword | Capital Asset Pricing Model | en |
dc.subject.stw | Querschnittsanalyse | en |
dc.subject.stw | Korrelation | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Theorie | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Makroökonomischer Einfluss | en |
dc.subject.stw | USA | en |
dc.title | Exponent of cross-sectional dependence: Estimation and inference | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 715366505 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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