A Principal Components Approach to Cross-Section Dependence in Panels



Table 2A. Monte Carlo simulation results

N = 30,T = 300,7L^.U[0.5,1.5],£dk=Pz=0.9,ad^^_U[0.5, 1.5]

A) Regression I

Mean

SSD

Min.

Max.

Skew.

Kurt-3

MG________________________________

ʌ
^

1.4110

.0637

1.2563

1.6184

.1564

-.1977

ʌ

SEι(θ)

.0234

.0034

.0137

.0365

.0983

.0359

FE_________________________________________

ʌ
^

1.4053

.0629

1.2459

1.5887

.1382

-.2571

ʌ

SEι(θ)

.0065

.0002

.0060

.0072

.1899

-.0861

POLS_______________________________________

ʌ
^

1.3899

.0619

1.2368

1.5744

.1564

-.1977

ʌ

SEι(θ)

.0064

.0002

.0059

.0071

.0770

-.1795

B) Regression II

Mean

SSD

Min.

Max.

Skew.

Kurt-3

MG_______________________________

ʌ
b

1.0397

.0154

1.0065

1.1210

.9317

1.7659

ʌ

SEi (b)

.0060

.0013

.0031

.0121

.7812

1.1088

FE_________________________________________

ʌ
b

1.0373

.0158

1.0077

1.1058

.7595

.8561

ʌ

SEi (b)

.0044

.0002

.0039

.0053

.6836

.6280

POLS_______________________________________

ʌ
b

1.0351

.0150

1.0054

1.0959

.7117

.6410

ʌ

SEi (b)

.0043

.0002

.0039

.0051

.6538

.4204

23



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