Panel data models with cross-sectional dependence: a selective review

摘要

In this review, we highlight some recent methodological and theoretical developments in estimation and testing of large panel data models with cross-sectional dependence.The paper begins with a discussion of issues of cross-sectional dependence, and introduces the concepts of weak and strong cross-sectional dependence. Then, the main attention is primarily paid to spatial and factor approaches for modeling cross-sectional dependence for both linear and nonlinear(nonparametric and semiparametric) panel data models. Finally, we conclude with some speculations on future research directions.