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A conditional approach to panel data models with common shocks
2016 (English)In: Econometrics, ISSN 2225-1146, Vol. 4, no 1, 4Article in journal (Refereed) Published
Abstract [en]

This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, which rely on using results on martingale difference sequences, our method relies on conditional strong laws of large numbers and conditional central limit theorems for conditionally-heterogeneous random variables.

Place, publisher, year, edition, pages
2016. Vol. 4, no 1, 4
Keyword [en]
factor structure, common shocks, conditional independence, conditional central limit theorem
National Category
Economics
Identifiers
URN: urn:nbn:se:umu:diva-131233DOI: 10.3390/econometrics4010004OAI: oai:DiVA.org:umu-131233DiVA: diva2:1072999
Available from: 2017-02-09 Created: 2017-02-09 Last updated: 2017-02-14Bibliographically approved

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Forchini, Giovanni
Economics

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf