Cross section dependence in panel data models 2011-2014

Pesaran, M. Hashem and Holly, Sean (2019). Cross section dependence in panel data models 2011-2014. [Data Collection]. Colchester, Essex: UK Data Archive. 10.5255/UKDA-SN-851449

The use of panels where the number of time periods and cross section units varies across applications creates a number of challenges for statisticians and econometricians, as well as for economic theory where network interactions are of interest. One very common form of interaction is spatial. Closeness or geographical contiguity is observable and there is a well developed field of spatial econometrics that deals with these issues. When the interaction is unobservable it may be that there is a common factor at work-global warming, for example, or a world financial crisis with pervasive effects globally. But there can also be more local forms of interaction which in addition to spatial patterns could take place in more abstract spaces such as social or economic networks.These abstract interactions can be both strong and weak.
Strong interactions do not die away as the number of agents increases or as we move away from a 'neighbourhood'. Weak interactions do.This project will address these issues by developing econometric techniques for taking account of these interactions in a wide range of applications in economics.

Data description (abstract)

Data collected based on secondary sources

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