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Series estimation under cross-sectional dependence

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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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 (Report)
Official URL:
Additional Information: © 2013 The Authors
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 23 Jul 2014 15:46
Last Modified: 23 Jul 2014 15:46
Projects: ES/J007242/1
Funders: Economic and Social Research Council

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