Lee, Jungyoon and Robinson, Peter M. (2013) Series estimation under cross-sectional dependence. Econometrics, EM/2013/570. The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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Abstract
An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross-sectional dependence and heterogeneity. A uniform rate of consistency, asymptotic normality, and sufficient conditions for convergence, are established, and a data-driven studentization new to cross-sectional data is justifi…ed. The conditions accommodate various cross-sectional settings plausible in economic applications, and apply also to panel and time series data. Strong, as well as weak dependence are covered, and conditional heteroscedasticity is allowed.
| Item Type: | Monograph (Technical Report) |
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| Official URL: | http://sticerd.lse.ac.uk/ |
| Additional Information: | © 2013 The Authors |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) |
| Identification Number: | EM/2013/570 |
| Funders: | Economic and Social Research Council (ESRC) |
| Projects: | ES/J007242/1 |
| Date Deposited: | 23 Jul 2014 15:46 |
| URL: | http://eprints.lse.ac.uk/58188/ |
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