On testing for sphericity with non-normality in a fixed effects panel data model

DOI10.1016/j.spl.2014.12.017zbMath1321.62085OpenAlexW2030123279MaRDI QIDQ2018631

Bin Peng, Chihwa Kao, Badi H. Baltagi

Publication date: 24 March 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://www.maxwell.syr.edu/uploadedFiles/cpr/publications/working_papers2/wp176.pdf

zbMATH Keywords

panel datasphericitycross-sectional dependenceJohn test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (4)

Testing for covariance matrices in time-varying coefficient panel data models with fixed effects ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ Testing for sphericity in a fixed effects panel data model with time-varying variances ⋮ Robust sphericity test in the panel data model

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• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Tests for High-Dimensional Covariance Matrices
• The distribution of a statistic used for testing sphericity of normal distributions

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