A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS

DOI10.1017/S0266466612000072zbMath1369.62089MaRDI QIDQ3168426

Jia Chen, Degui Li, J. T. Gao

Publication date: 31 October 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Diagnostics, and linear inference and regression (62J20)

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A robust test for serial correlation in panel data models, A varying-coefficient panel data model with fixed effects: theory and an application to US commercial banks, Estimation of heterogeneous panels with structural breaks, Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model, Semiparametric trending panel data models with cross-sectional dependence, Empirical likelihood based inference for a categorical varying-coefficient panel data model with fixed effects, Panel nonparametric regression with fixed effects, Testing Independence Among a Large Number of High-Dimensional Random Vectors, Semi-parametric single-index panel data models with interactive fixed effects: theory and practice, Estimation in a semiparametric panel data model with nonstationarity

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