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Journal of Applied Econometrics
Natalia Bailey
;
George Kapetanios
;
M. Hashem Pesaran
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the...
DOI:10.15456/jae.2022326.0659087831
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