A bias-corrected Srivastava-type test for cross-sectional independence

DOI10.1016/J.JMVA.2024.105371MaRDI QIDQ6656665

Ming Xiang Cao, Qing Cheng, Kai Xu

Publication date: 3 January 2025

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

panel dataLagrange multiplier testcross-sectional independenceSrivastava test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Multivariate analysis (62Hxx)

Cites Work

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• Tests for High-Dimensional Covariance Matrices
• Panel Data Models With Interactive Fixed Effects
• Cross-Section Regression with Common Shocks
• Rank correlation and product-moment correlation
• Testing Weak Cross-Sectional Dependence in Large Panels

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