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Econometrics Paper
Series Estimation under Cross-sectional Dependence
Jungyoon Lee and Peter M Robinson
June 2013
Paper No' EM/2013/570:
Full Paper (pdf)

JEL Classification: C12; C13; C14; C21

Tags: series estimation; nonparametric regression; spatial data; cross-sectional dependence; uniform rate of consistency; functional central limit the- orem; data-driven studentization

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.