A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models* (Q5095204): Difference between revisions

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scientific article; zbMATH DE number 7568839

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English	A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*	scientific article; zbMATH DE number 7568839

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scholarly article

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title

A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models* (English)

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5 August 2022

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zbMATH Keywords

large panels

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cross-sectional independence

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high-dimensional Lagrange-multiplier test

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random matrix theory

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/07474938.2021.2009705

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cites work

Exponent of cross-sectional dependence for residuals

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Testing for sphericity in a fixed effects panel data model

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A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model

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The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

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Weak and strong cross‐section dependence and estimation of large panels

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Q3732814

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Spatial correlation robust inference with errors in location or distance

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Assessing cross-sectional correlation in panel data

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High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications

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A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models

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Rank correlation and product-moment correlation

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Random matrix theory in statistics: a review

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Testing Weak Cross-Sectional Dependence in Large Panels

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Q2950659

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A bias-adjusted LM test of error cross-section independence

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Cross-Sectional Dependence in Panel Data Analysis

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A test of cross section dependence for a linear dynamic panel model with regressors

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Testing for complete independence in high dimensions

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Large Sample Covariance Matrices and High-Dimensional Data Analysis

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Identifiers

DOI

10.1080/07474938.2021.2009705

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5095204

@@ Property / cites work @@
+Exponent of cross-sectional dependence for residuals
+Normal rank
@@ Property / cites work @@
+Testing for sphericity in a fixed effects panel data model
+Normal rank
@@ Property / cites work @@
+A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
+Normal rank
@@ Property / cites work @@
+The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
+Normal rank
@@ Property / cites work @@
+Weak and strong cross‐section dependence and estimation of large panels
+Normal rank
@@ Property / cites work @@
+Q3732814
@@ Property / cites work: Q3732814 / rank @@
+Normal rank
@@ Property / cites work @@
+Spatial correlation robust inference with errors in location or distance
+Normal rank
@@ Property / cites work @@
+Assessing cross-sectional correlation in panel data
+Normal rank
@@ Property / cites work @@
+High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications
+Normal rank
@@ Property / cites work @@
+A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models
+Normal rank
@@ Property / cites work @@
+Rank correlation and product-moment correlation
@@ Property / cites work: Rank correlation and product-moment correlation / rank @@
+Normal rank
@@ Property / cites work @@
+Random matrix theory in statistics: a review
@@ Property / cites work: Random matrix theory in statistics: a review / rank @@
+Normal rank
@@ Property / cites work @@
+Testing Weak Cross-Sectional Dependence in Large Panels
+Normal rank
@@ Property / cites work @@
+Q2950659
@@ Property / cites work: Q2950659 / rank @@
+Normal rank
@@ Property / cites work @@
+A bias-adjusted LM test of error cross-section independence
+Normal rank
@@ Property / cites work @@
+Cross-Sectional Dependence in Panel Data Analysis
@@ Property / cites work: Cross-Sectional Dependence in Panel Data Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+A test of cross section dependence for a linear dynamic panel model with regressors
+Normal rank
@@ Property / cites work @@
+Testing for complete independence in high dimensions
+Normal rank
@@ Property / cites work @@
+Large Sample Covariance Matrices and High-Dimensional Data Analysis
+Normal rank