Assessing cross-sectional correlation in panel data

DOI10.1016/0304-4076(94)01658-MzbMATH Open0847.62083MaRDI QIDQ1902503FDOQ1902503

Authors: Edward F. Frees 

Publication date: 8 October 1996

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

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• Testing for serial correlation in fixed-effects panel data models
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zbMATH Keywords

diagnostic testsresidualspanel datarandom effectscross-sectional correlationfinite-sample propertiesdistribution-free statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Random-Effects Models for Longitudinal Data
• Title not available (Why is that?)
• Robust Statistics
• Panel Data and Unobservable Individual Effects
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• 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
• Title not available (Why is that?)

Cited In (21)

• Testing weak cross-sectional dependence in large panels
• Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test
• A bias-adjusted LM test of error cross-section independence
• Rank-based tests of cross-sectional dependence in panel data models
• Max-sum tests for cross-sectional independence of high-dimensional panel data
• 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
• Testing independence among a large number of high-dimensional random vectors
• 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
• 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
• A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models
• 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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