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

DOI10.1017/S0266466612000072zbMath1369.62089MaRDI QIDQ3168426

Jia Chen, Degui Li, J. T. Gao

Publication date: 31 October 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Diagnostics, and linear inference and regression (62J20)

Related Items (10)

A robust test for serial correlation in panel data models ⋮ A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks ⋮ Estimation of heterogeneous panels with structural breaks ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ Semiparametric trending panel data models with cross-sectional dependence ⋮ Empirical likelihood based inference for a categorical varying-coefficient panel data model with fixed effects ⋮ Panel nonparametric regression with fixed effects ⋮ Testing Independence Among a Large Number of High-Dimensional Random Vectors ⋮ Semi-parametric single-index panel data models with interactive fixed effects: theory and practice ⋮ Estimation in a semiparametric panel data model with nonstationarity

Cites Work

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• A test of cross section dependence for a linear dynamic panel model with regressors
• Weak convergence for weighted empirical processes of dependent sequences
• Nonlinear time series. Nonparametric and parametric methods
• Assessing cross-sectional correlation in panel data
• Copula-based tests for cross-sectional independence in panel models
• A bias-adjusted LM test of error cross-section independence
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Linear Regression Limit Theory for Nonstationary Panel Data

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