A Conditional Approach to Panel Data Models with Common Shocks

Giovanni Forchini, Bin Peng

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This paper studies the effects of common shocks on the OLS estimators of the slopes’ parameters in linear panel data models. The shocks are assumed to affect both the errors and some of the explanatory variables. In contrast to existing approaches, which rely on using results on martingale difference sequences, our method relies on conditional strong laws of large numbers and conditional central limit theorems for conditionally-heterogeneous random variables.
Original languageEnglish
Article number4
Pages (from-to)1-12
Number of pages12
JournalEconometrics
Volume4
Issue number1
DOIs
Publication statusPublished - 12 Jan 2016

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