Assessing cross-sectional correlation in panel data

DOI10.1016/0304-4076(94)01658-MzbMath0847.62083MaRDI QIDQ1902503

Edward F. Frees

Publication date: 8 October 1996

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

random effectspanel dataresidualsdiagnostic testscross-sectional correlationfinite-sample propertiesdistribution-free statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20)

Related Items (17)

Rank-based tests of cross-sectional dependence in panel data models ⋮ A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS ⋮ A test of cross section dependence for a linear dynamic panel model with regressors ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ The CAPM, national stock market betas, and macroeconomic covariates: a global analysis ⋮ A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models* ⋮ A bias-adjusted LM test of error cross-section independence ⋮ Rank-based max-sum tests for mutual independence of high-dimensional random vectors ⋮ Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states ⋮ Estimating DEA confidence intervals with statistical panel data analysis ⋮ A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ A spatio-temporal model of house prices in the USA ⋮ Testing Independence Among a Large Number of High-Dimensional Random Vectors ⋮ A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections ⋮ Testing Weak Cross-Sectional Dependence in Large Panels ⋮ Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model

Cites Work

• Random-Effects Models for Longitudinal Data
• Large sample theory for U-statistics and tests of fit
• Approximation Theorems of Mathematical Statistics
• On Tests Applied to Residuals
• Panel Data and Unobservable Individual Effects
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Estimating Densities of Functions of Observations
• Robust Statistics
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