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

DOI10.1016/j.jeconom.2008.10.006zbMath1429.62696OpenAlexW2120522613MaRDI QIDQ301972

Takashi Yamagata, Vasilis Sarafidis, Donald Robertson

Publication date: 4 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.006

zbMATH Keywords

dynamic panel datageneralised method of momentscross section dependenceoveridentifying restrictions test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (20)

Max-sum tests for cross-sectional independence of high-dimensional panel data ⋮ Unit root tests for panel data with AR(1) errors and small T ⋮ A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS ⋮ A joint serial correlation test for linear panel data models ⋮ Cross-Sectional Dependence in Panel Data Analysis ⋮ A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models* ⋮ Estimation of heterogeneous panels with structural breaks ⋮ Inference on factor structures in heterogeneous panels ⋮ Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ On the impact of error cross-sectional dependence in short dynamic panel estimation ⋮ 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 ⋮ Testing Independence Among a Large Number of High-Dimensional Random Vectors ⋮ THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE ⋮ IV estimation of panels with factor residuals ⋮ Testing for sphericity in a two-way error components panel data model ⋮ Fixed T dynamic panel data estimators with multifactor errors ⋮ Testing Weak Cross-Sectional Dependence in Large Panels ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures

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