Assessing cross-sectional correlation in panel data

Cites Work

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Approximation Theorems of Mathematical Statistics
Random-Effects Models for Longitudinal Data
Robust Statistics
Panel Data and Unobservable Individual Effects
The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
Estimating Densities of Functions of Observations
Large sample theory for U-statistics and tests of fit
On Tests Applied to Residuals

Cited In (19)

A bias-adjusted LM test of error cross-section independence
Rank-based tests of cross-sectional dependence in panel data models
A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS
A test of cross section dependence for a linear dynamic panel model with regressors
ENDOGENOUS CROSS CORRELATIONS
A quasi-differencing approach to dynamic modelling from a time series of independent cross-sections
Cross-Sectional Dependence in Panel Data Analysis
Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
Rank-based max-sum tests for mutual independence of high-dimensional random vectors
The CAPM, national stock market betas, and macroeconomic covariates: a global analysis
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
Analysis of the cross-effects in a cross-lagged panel study
Testing Weak Cross-Sectional Dependence in Large Panels
Consumption, personal income, financial wealth, housing wealth, and long-term interest rates: a panel cointegration approach for 50 US states
A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
Estimating DEA confidence intervals with statistical panel data analysis
Testing Independence Among a Large Number of High-Dimensional Random Vectors
A spatio-temporal model of house prices in the USA
A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models

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