Most of the existing literature on panel data cointegration assumes cross-sectional
independence, an assumption that is difficult to satisfy. This paper studies panel …

This paper 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 …

This paper presents a new approach to estimation and inference in panel data models with
a general multifactor error structure. The unobserved factors and the individual‐specific …

This paper considers large N and large T panel data models with unobservable multiple
interactive effects, which are correlated with the regressors. In earnings studies, for example …

This article describes a new Stata routine, xtcsd, to test for the presence of cross-sectional
dependence in panels with many cross-sectional units and few time-series observations …

Spatial econometrics is a subfield of econometrics that deals with the incorporation of spatial
effects in econometric methods (Anselin, 1988a). Spatial effects may result from spatial …

The presence of cross-sectionally correlated error terms invalidates much inferential theory
of panel data models. Recently, work by Pesaran (2006) has suggested a method which …

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 …

The rate of migration observed between two countries does not depend solely on their
relative attractiveness, but also on the one of alternative destinations. Following the trade …

This paper considers methods for estimating the slope coefficients in large panel data
models that are robust to the presence of various forms of error cross-section dependence. It …