Testing for sphericity in a fixed effects panel data model

DOI10.1111/j.1368-423X.2010.00331.xzbMath1218.62055OpenAlexW2914137213MaRDI QIDQ3018488

Chihwa Kao, Badi H. Baltagi, Qu Feng

Publication date: 27 July 2011

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00331.x

zbMATH Keywords

panel datasphericitycross-sectional dependenceJohn test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

Related Items (15)

Testing for covariance matrices in time-varying coefficient panel data models with fixed effects ⋮ Test for the covariance matrix in time-varying coefficients panel data models with fixed effects ⋮ 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 ⋮ Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model ⋮ On testing for sphericity with non-normality in a fixed effects panel data model ⋮ A note on tests of sphericity and cross-sectional dependence for fixed effects panel model ⋮ Testing for sphericity in a fixed effects panel data model with time-varying variances ⋮ Robust sphericity test in the panel data model ⋮ Testing for sphericity in a two-way error components panel data model ⋮ Testing Weak Cross-Sectional Dependence in Large Panels ⋮ Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model ⋮ Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures

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