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Cross-Sectional Dependence in Panel Data Analysis

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Sarafidis, Vasilis, Wansbeek, Tom·2012·Econometric Reviews
DOI 10.1080/07474938.2011.611458
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Abstract

This article provides an overview of the existing literature on panel data models with error cross-sectional dependence (CSD). We distinguish between weak and strong CSD and link these concepts to the spatial and factor structure approaches. We consider estimation under strong and weak exogeneity of the regressors for both T fixed and T large cases. Available tests for CSD and methods for determining the number of factors are discussed in detail. The finite-sample properties of some estimators and statistics are investigated using Monte Carlo experiments.

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Metadata

Authors
Sarafidis, V., & Wansbeek, T.
Venue
Econometric Reviews
Publisher
Informa UK Limited
Published
2011-10-10
Volume
31
Issue
5
Pages
483-531
ISSN
  • 0747-4938 (ISSN-L)
  • 1532-4168
DOI
10.1080/07474938.2011.611458
OpenAlex
W1514008530
Cited by
497
References
8
FWCI
37.84
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Cross-Sectional Dependence in Panel Data Analysis. https://app.cochat.ai/papers/10.1080/07474938.2011.611458
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Sarafidis, V., & Wansbeek, T. (2012). Cross-Sectional Dependence in Panel Data Analysis. Econometric Reviews. https://doi.org/10.1080/07474938.2011.611458

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