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Series estimation under cross-sectional dependence

Lee, Jungyoon and Robinson, Peter (2016) Series estimation under cross-sectional dependence. Journal of Econometrics, 190 (1). pp. 1-17. ISSN 0304-4076

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Identification Number: 10.1016/j.jeconom.2015.08.001

Abstract

An asymptotic theory is developed for series estimation of nonparametric and semiparametric regression models for cross-sectional data under conditions on disturbances that allow for forms of cross-sectional dependence and hetero-geneity, including conditional and unconditional heteroskedascity, along with conditions on regressors that allow dependence and do not require existence of a density. The conditions aim to accommodate various settings plausible in economic applications, and can apply also to panel, spatial and time series data. A mean square rate of convergence of nonparametric regression estimates is established followed by asymptotic normality of a quite general statistic. Data-driven studentizations that rely on single or double indices to order the data are justified. In a partially linear model setting, Monte Carlo investigation of finite sample properties and two empirical applications are carried out.

Item Type: Article
Official URL: http://www.journals.elsevier.com/journal-of-econom...
Additional Information: © 2015 The Authors.
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 03 Sep 2015 09:08
Last Modified: 20 Feb 2019 11:34
Projects: ES/J007242/1, ES/J007242/1
Funders: Economic and Social Research Council, Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/63380

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