A Conditional Approach to Panel Data Models with Common Shocks

Econometrics

Giovanni Forchini²  Bin Peng¹ 

[1] Economics Discipline Group, University of Technology Sydney, Sydney 2007, Australia;;School of Economics, Ground Floor AD Building, University of Surrey, Guildford, Surrey GU2 7XH, UK

关键词: factor structure;    common shocks;    conditional independence;    conditional central limit theorem;   

DOI  :  10.3390/econometrics4010004

来源: mdpi

【 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.

【 授权许可】

CC BY   
© 2016 by the authors; licensee MDPI, Basel, Switzerland.