A Conditional Approach to Panel Data Models with Common Shocks

被引：4
|
作者：
Forchini, Giovanni [1 ]
Peng, Bin [2 ]
机构：
[1] Univ Surrey, Sch Econ, Ground Floor AD Bldg, Guildford GU2 7XH, Surrey, England
[2] Univ Technol Sydney, Econ Discipline Grp, Sydney, NSW 2007, Australia
来源：
ECONOMETRICS | 2016年 / 4卷 / 01期
基金：
澳大利亚研究理事会;
关键词：
factor structure; common shocks; conditional independence; conditional central limit theorem;
D O I：
10.3390/econometrics4010004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页数：12
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