Testing for error cross‐sectional independence using pairwise augmented regressions

DOI10.1111/ectj.12067OpenAlexW3125190465MaRDI QIDQ5093944

Guangyu Mao

Publication date: 2 August 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12067

zbMATH Keywords

independence testhigh dimensioncross-sectional dependenceheterogeneous panelslow sample sizesimultaneous limits

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Testing for covariance matrices in time-varying coefficient panel data models with fixed effects ⋮ A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model

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