In this paper, we provide a coherent theoretical investigation of the relationship between cross-section and time series measures of uncertainty, which are often employed as perfect substitutes in empirical applications. The main Önding of our analysis is that there exists an ambiguous sign in the discrepancy between the two measures of uncertainty arising from the presence of cross-sectional dependence amongst individuals. Thus our study underpins the importance of accounting for cross-sectional dependence, in line with recent inferential theory of panel data models.

On the use of cross-sectional measures of uncertainty

TRAPANI, Lorenzo;URGA, Giovanni;
2008-01-01

Abstract

In this paper, we provide a coherent theoretical investigation of the relationship between cross-section and time series measures of uncertainty, which are often employed as perfect substitutes in empirical applications. The main Önding of our analysis is that there exists an ambiguous sign in the discrepancy between the two measures of uncertainty arising from the presence of cross-sectional dependence amongst individuals. Thus our study underpins the importance of accounting for cross-sectional dependence, in line with recent inferential theory of panel data models.
2008
Trapani, Lorenzo; Urga, Giovanni; Driver, Ciaran
File allegato/i alla scheda:
File Dimensione del file Formato  
WPIngGe03(2008).pdf

accesso aperto

Versione: publisher's version - versione editoriale
Licenza: Licenza default Aisberg
Dimensione del file 183.13 kB
Formato Adobe PDF
183.13 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/411
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact