Max-sum tests for cross-sectional independence of high-dimensional panel data
From MaRDI portal
Publication:2131268
DOI10.1214/21-AOS2142zbMath1487.62054arXiv2007.03911OpenAlexW4226079764MaRDI QIDQ2131268
Wei Xiong, Binghui Liu, Long Feng, Tiefeng Jiang
Publication date: 25 April 2022
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.03911
asymptotic normalitypanel data modelsasymptotic independencehigh-dimensional datahypothesis testsextreme-value distributioncross-sectional independencemax-sum test
Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)
Related Items
Consistency of \(p\)-norm based tests in high dimensions: characterization, monotonicity, domination, Rank-based max-sum tests for mutual independence of high-dimensional random vectors
Cites Work
- Unnamed Item
- Unnamed Item
- A test of cross section dependence for a linear dynamic panel model with regressors
- Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
- Limit distribution of the sum and maximum from multivariate Gaussian sequences
- Inference for high-dimensional differential correlation matrices
- The asymptotic distributions of the largest entries of sample correlation matrices.
- A note on the asymptotic independence of the sum and maximum of strongly mixing stationary random variables
- On testing for high-dimensional white noise
- Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing
- The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization
- Determinant of sample correlation matrix with application
- Distributions of Angles in Random Packing on Spheres
- Analysis of Panel Data
- Adaptive Thresholding for Sparse Covariance Matrix Estimation
- Likelihood Ratio Tests for High‐Dimensional Normal Distributions
- A bias-adjusted LM test of error cross-section independence
- Testing for complete independence in high dimensions
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
- Power Enhancement in High-Dimensional Cross-Sectional Tests
- A Test of the Efficiency of a Given Portfolio
- Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
- Cross-Sectional Dependence in Panel Data Analysis
- Two-Sample Test of High Dimensional Means Under Dependence
- An analysis of variance test for normality (complete samples)
- An adaptive two-sample test for high-dimensional means
- Testing for high-dimensional white noise using maximum cross-correlations
- Common risk factors in the returns on stocks and bonds
- Testing Weak Cross-Sectional Dependence in Large Panels
