A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
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Publication:528032
DOI10.1016/j.jeconom.2012.04.004zbMath1443.62164OpenAlexW2047352417MaRDI QIDQ528032
Chihwa Kao, Qu Feng, Badi H. Baltagi
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://surface.syr.edu/cpr/193
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)
Related Items (13)
High dimensional cross-sectional dependence test under arbitrary serial correlation ⋮ Rank-based tests of cross-sectional dependence in panel data models ⋮ 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 ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Rank-based max-sum tests for mutual independence of high-dimensional random vectors ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models ⋮ A robust test for network generated dependence ⋮ A note on tests of sphericity and cross-sectional dependence for fixed effects panel model ⋮ Testing for sphericity in a two-way error components panel data model ⋮ Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
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