TY - JOUR
T1 - A Conditional Approach to Panel Data Models with Common Shocks
AU - Forchini, Giovanni
AU - Peng, Bin
PY - 2016/1/12
Y1 - 2016/1/12
N2 - 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.
AB - 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.
UR - https://doi.org/10.3390/econometrics4010004
UR - https://doi.org/10.3390/econometrics4010004
U2 - 10.3390/econometrics4010004
DO - 10.3390/econometrics4010004
M3 - Article
SN - 2225-1146
VL - 4
SP - 1
EP - 12
JO - Econometrics
JF - Econometrics
IS - 1
M1 - 4
ER -