High dimensional cross-sectional dependence test under arbitrary serial correlation

DOI10.1007/s11425-014-0731-4zbMath1368.62195OpenAlexW2560497077MaRDI QIDQ2360967

Ronghua Luo, Wei Lan, Rui Pan, YongWei Cheng

Publication date: 29 June 2017

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-014-0731-4

zbMATH Keywords

serial correlationpanel datacross-sectional dependenceCD test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Cites Work

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