Copula-based tests for cross-sectional independence in panel models

DOI10.1016/j.econlet.2008.01.017zbMath1255.62356OpenAlexW2033926509MaRDI QIDQ1934860

Giovanni Urga, Hongming Huang, Chihwa Kao

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://surface.syr.edu/cpr/66

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of copula-based semiparametric time series models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• An introduction to copulas.
• Testing panel data regression models with spatial error correlation.
• Empirical process of residuals for high-dimensional linear models
• Multivariate survival distributions
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Understanding Relationships Using Copulas
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• A test for the serial independence of residuals

This page was built for publication: Copula-based tests for cross-sectional independence in panel models