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Three Essays On Large Panel Data Models With Cross-Sectional Dependence, Yonghui Zhang

Dissertations and Theses Collection (Open Access)

My dissertation consists of three essays which contribute new theoretical results to large panel data models with cross-sectional dependence. These essays try to answer or partially answer some prominent questions such as how to detect the presence of cross-sectional dependence and how to capture the latent structure of cross-sectional dependence and estimate parameters efficiently by removing its effects. Chapter 2 introduces a nonparametric test for cross-sectional contemporaneous dependence in large dimensional panel data models based on the squared distance between the pair-wise joint density and the product of the marginals. The test can be applied to either raw observable data …