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Abstract:![]()
Econometrics Paper
Series Estimation under Cross-sectional Dependence Jungyoon Lee and Peter M Robinson June 2013 Paper No' EM/2013/570: Full Paper ![]() An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross-sectional dependence and heterogeneity. A uniform rate of consistency, asymptotic normality, and sufficient conditions for convergence, are established, and a data-driven studentization new to cross-sectional data is justifi…ed. The conditions accommodate various cross-sectional settings plausible in economic applications, and apply also to panel and time series data. Strong, as well as weak dependence are covered, and conditional heteroscedasticity is allowed. |
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