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A Conditional Approach to Panel Data Models with Common Shocks

Author

Listed:
  • Giovanni Forchini

    (School of Economics, Ground Floor AD Building, University of Surrey, Guildford, Surrey GU2 7XH, UK)

  • Bin Peng

    (Economics Discipline Group, University of Technology Sydney, Sydney 2007, Australia)

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.

Suggested Citation

  • Giovanni Forchini & Bin Peng, 2016. "A Conditional Approach to Panel Data Models with Common Shocks," Econometrics, MDPI, vol. 4(1), pages 1-12, January.
    • Handle: RePEc:gam:jecnmx:v:4:y:2016:i:1:p:4-:d:62057
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    References listed on IDEAS

    as
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    Cited by:

    1. Chimere O. Iheonu, 2019. "Governance and Domestic Investment in Africa," Working Papers 19/001, European Xtramile Centre of African Studies (EXCAS).
    2. Eduardo A. Souza-Rodrigues, 2016. "Nonparametric Regression with Common Shocks," Econometrics, MDPI, vol. 4(3), pages 1-17, September.

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