Asymptotics for Panel Models with Common Shocks
为含共同冲击的面板模型发展了一套新的渐近理论，考虑了截面和时间序列维度固定或大、因子可观测或不可观测、协整或伪回归等多种情形，推导了OLS估计量的收敛速度和极限分布。
This article develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error terms. Several characteristics of the panel are considered: cross-sectional and time-series dimensions can either be fixed or large; factors can either be observable or unobservable; the factor model can describe either a cointegration relationship or a spurious regression, and we also consider the stationary case. We derive the rate of convergence and the limit distributions for the ordinary least square (OLS) estimates of the model parameters under all the aforementioned cases.