Robust sphericity test in the panel data model

DOI10.1016/j.spl.2021.109304zbMath1478.62141OpenAlexW3215504630MaRDI QIDQ2070603

Ping Zhao, Long Feng, XiaoXu Zhang

Publication date: 24 January 2022

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

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109304

zbMATH Keywords

panel datasphericityhigh dimensioncross-sectional dependencemultivariate-sign

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• A new test for sphericity of the covariance matrix for high dimensional data
• Multivariate nonparametric methods with R. An approach based on spatial signs and ranks.
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• On testing for sphericity with non-normality in a fixed effects panel data model
• A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
• Testing for sphericity in a fixed effects panel data model
• A bias-adjusted LM test of error cross-section independence
• Tests for High-Dimensional Covariance Matrices
• Multivariate sign-based high-dimensional tests for sphericity

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