In this review, we highlight some recent methodological and theoretical develop- ments in estimation and testing of large panel data models with cross-sectional dependence. The paper begins with a discussion of issues...In this review, we highlight some recent methodological and theoretical develop- ments in estimation and testing of large panel data models with cross-sectional dependence. The paper begins with a discussion of issues of cross-sectional dependence, and introduces the concepts of weak and strong cross-sectional dependence. Then, the main attention is primarily paid to spatial and factor approaches for modeling cross-sectional dependence for both linear and nonlinear （nonparametric and semiparametric） panel data models. Finally, we conclude with some speculations on future research directions.展开更多
基金Supported by the National Natural Science Foundation of China(71131008(Key Project)and 71271179)
文摘In this review, we highlight some recent methodological and theoretical develop- ments in estimation and testing of large panel data models with cross-sectional dependence. The paper begins with a discussion of issues of cross-sectional dependence, and introduces the concepts of weak and strong cross-sectional dependence. Then, the main attention is primarily paid to spatial and factor approaches for modeling cross-sectional dependence for both linear and nonlinear （nonparametric and semiparametric） panel data models. Finally, we conclude with some speculations on future research directions.
