| Title: |
A conditional approach to panel data models with common shocks |
| Authors: |
Forchini, Giovanni; Peng, Bin |
| Publisher Information: |
MDPI |
| Publication Year: |
2016 |
| Collection: |
EconStor (German National Library of Economics, ZBW) |
| Subject Terms: |
ddc:330; C23; factor structure; common shocks; conditional independence; conditional central limit theorem |
| Description: |
This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, which rely on using results on martingale difference sequences, our method relies on conditional strong laws of large numbers and conditional central limit theorems for conditionally-heterogeneous random variables. |
| Document Type: |
article in journal/newspaper |
| Language: |
English |
| Relation: |
https://hdl.handle.net/10419/171857 |
| DOI: |
10.3390/econometrics4010004 |
| Availability: |
https://hdl.handle.net/10419/171857; https://doi.org/10.3390/econometrics4010004 |
| Rights: |
http://creativecommons.org/licenses/by/4.0/ |
| Accession Number: |
edsbas.5A1BE998 |
| Database: |
BASE |