Browsing by Subject "Weak and Strong Cross Section Dependence"
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(Faculty of Economics, 2011-01-31)This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally ...
(Faculty of Economics, University of Cambridge, UK, 2007-11)This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only ...