Cross sectional dependency in panel data

Questions related to panel (pooled cross-section time series) data.

Cross sectional dependency in panel data

Unread postby nverma » Tue Nov 30, 2021 8:56 am

Hello,

I am working on a panel data of six Emerging economies with quarterly data from 2000-2020. Some of the variables are cross sectionally invariant. for example: US interest rate which has same data across time for all the countries in the panel. I would like to control for cross sectional dependency in the data (wherein a variable across economies tend to be driven by common external disturbance) for which demeaning the data (subtracting by time means) is the most suggested solution. I am doing FMOLS estimation in the paper.

However, because of cross sectional invariant nature of few variables, the data cannot be demeaned. I would really appreciate if anyone can suggest a possible solution to this? Is it not possible to include cross sectionally invariant variables in a panel setting? if possible, then how to control for cross sectional dependency.

I hope my query is clear.

Thank you!
nverma
 
Posts: 2
Joined: Sat Oct 02, 2021 8:12 pm

Re: Cross sectional dependency in panel data

Unread postby nverma » Fri Dec 10, 2021 4:45 am

Hello Tom,

I would really appreciate if I can get some help on this..

Thanks
nverma
 
Posts: 2
Joined: Sat Oct 02, 2021 8:12 pm


Return to Panel Data

Who is online

Users browsing this forum: No registered users and 4 guests

cron