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A Conditional Approach to Panel Data Models with Common Shocks

1
School of Economics, Ground Floor AD Building, University of Surrey, Guildford, Surrey GU2 7XH, UK
2
Economics Discipline Group, University of Technology Sydney, Sydney 2007, Australia
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Academic Editor: Kerry Patterson
Econometrics 2016, 4(1), 4; https://doi.org/10.3390/econometrics4010004
Received: 15 September 2015 / Revised: 21 December 2015 / Accepted: 6 January 2016 / Published: 12 January 2016
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. View Full-Text
Keywords: factor structure; common shocks; conditional independence; conditional central limit theorem factor structure; common shocks; conditional independence; conditional central limit theorem
MDPI and ACS Style

Forchini, G.; Peng, B. A Conditional Approach to Panel Data Models with Common Shocks. Econometrics 2016, 4, 4.

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