A bias-adjusted LM test of error cross-section independence
From MaRDI portal
Publication:3499431
DOI10.1111/j.1368-423X.2007.00227.xzbMath1135.91414MaRDI QIDQ3499431
M. Hashem Pesaran, Aman Ullah, Takashi Yamagata
Publication date: 29 May 2008
Published in: The Econometrics Journal (Search for Journal in Brave)
Related Items (28)
High dimensional cross-sectional dependence test under arbitrary serial correlation ⋮ Rank-based tests of cross-sectional dependence in panel data models ⋮ Max-sum tests for cross-sectional independence of high-dimensional panel data ⋮ Test for the covariance matrix in time-varying coefficients panel data models with fixed effects ⋮ A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS ⋮ A test of cross section dependence for a linear dynamic panel model with regressors ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ On Sample Skewness and Kurtosis ⋮ A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model ⋮ A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models* ⋮ Estimation of heterogeneous panels with structural breaks ⋮ Rank-based max-sum tests for mutual independence of high-dimensional random vectors ⋮ Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models ⋮ 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 ⋮ A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS ⋮ A robust test for network generated dependence ⋮ A panel data analysis of uncovered interest parity and time-varying risk premium ⋮ Robust sphericity test in the panel data model ⋮ Robust block bootstrap panel predictability tests ⋮ Market integration, systemic risk and diagnostic tests in large mixed panels ⋮ Testing for sphericity in a two-way error components panel data model ⋮ Testing Weak Cross-Sectional Dependence in Large Panels ⋮ Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model ⋮ Panel data measures of price discovery ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
Cites Work
- On the sampling distribution of improved estimators for coefficients in linear regression
- Assessing cross-sectional correlation in panel data
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- Finite Sample Econometrics
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
This page was built for publication: A bias-adjusted LM test of error cross-section independence
