Given the growing availability of big datasets which contain information on multiple dimensions and following the recent research trend on multidimensional modelling, we develop three-dimensional panel data models with threeway error components that allow for strong cross-sectional dependence (CSD) through unobserved heterogeneous global factors, and propose appropriate consistent estimation procedures. We also discuss the extent of CSD in 3D models and provide a diagnostic test for cross-sectional dependence. We provide the extensions to unbalanced panels and 4D models. The validity of the proposed approach is confirmed by the Monte Carlo simulation results. We also demonstrate the empirical usefulness through the application to the 3D panel gravity model of the intra-EU trade flows.

Modelling in the presence of cross-sectional error dependence

Mastromarco C.;
2017-01-01

Abstract

Given the growing availability of big datasets which contain information on multiple dimensions and following the recent research trend on multidimensional modelling, we develop three-dimensional panel data models with threeway error components that allow for strong cross-sectional dependence (CSD) through unobserved heterogeneous global factors, and propose appropriate consistent estimation procedures. We also discuss the extent of CSD in 3D models and provide a diagnostic test for cross-sectional dependence. We provide the extensions to unbalanced panels and 4D models. The validity of the proposed approach is confirmed by the Monte Carlo simulation results. We also demonstrate the empirical usefulness through the application to the 3D panel gravity model of the intra-EU trade flows.
2017
22147977 15705811
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11770/314877
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 3
  • ???jsp.display-item.citation.isi??? 1
social impact