A Principal Components Approach to Cross-Section Dependence in Panels



Table 1A. Monte Carlo simulation results

N =30,T

= 300, γi

= 1, ρdi

=0, ρz

=0, σ2di

=1

A) Regression I

Mean

SSD

Min.

Max.

Skew.

Kurt-3

MG estimator

ʌ
^

1.4983

.0217

1.4243

1.5584

.0544

.0215

ʌ

SEι(θ)

.0083

.0011

.0056

.0116

.1819

-.2505

FE estimator

ʌ
^

1.4975

.0216

1.4244

1.5579

.0593

.0299

ʌ

SEι(θ)

.0092

.0002

.0087

.0096

-.1818

.0738

ʌ

SE2(θ)

.0169

.0003

.0161

.0179

.2264

.2835

ʌ

SE3(θ)

.0222

.0014

.0189

.0291

.7026

1.3561

POLS estimator

ʌ
^

1.4967

.0216

1.4232

1.5573

.0589

.0382

ʌ

SE1(θ)

.0092

.0002

.0087

.0096

-.1829

.0829

ʌ

SE2(b)

.0169

.0003

.0161

.0179

.2299

.3072

ʌ

SE3(θ)

.0221

.0015

.0180

.0277

.5705

.6412

B) Regression II

Mean

SSD

Min.

Max.

Skew.

Kurt-3

MG_______________________________

ʌ
b

1.0987

.0165

1.0503

1.1464

.2764

-.1859

ʌ

SE1(b)

.0100

.0013

.0063

.0137

.1158

-.0758

FE_________________________________________

ʌ
b

1.0980

.0163

1.0517

1.1459

.2769

-.1551

ʌ

SE1(b)

.0097

.0001

.0094

.0101

.0156

-.0846

ʌ

SE2(b)

.0098

.0001

.0095

.0103

.2678

.1741

ʌ

SE3(b)

.0109

.0006

.0092

.0133

.2375

.3445

POLS_______________________________________

ʌ
b

1.0977

.0163

1.0506

1.1453

.2678

-.1418

ʌ

SEi(b)

.0097

.0001

.0094

.0100

.0219

-.1046

ʌ

SE2(b)

.0098

.0001

.0095

.0103

.2678

.1635

ʌ

SE3(b)

.0109

.0006

.0093

.0131

.2703

.2165

Note: SE1 is based on the usual covariance matrix formulae for the MG, FE and
POLS estimators.
SE2 is based on (10) and SE3 is based on (13).

21



More intriguing information

1. An Attempt to 2
2. THE CHANGING RELATIONSHIP BETWEEN FEDERAL, STATE AND LOCAL GOVERNMENTS
3. The name is absent
4. The name is absent
5. The Evolution
6. The Dynamic Cost of the Draft
7. The name is absent
8. The name is absent
9. CONSIDERATIONS CONCERNING THE ROLE OF ACCOUNTING AS INFORMATIONAL SYSTEM AND ASSISTANCE OF DECISION
10. THE AUTONOMOUS SYSTEMS LABORATORY