Copula-based tests for cross-sectional independence in panel models

DOI10.1016/J.ECONLET.2008.01.017MaRDI QIDQ1934860zbMATH OpenOpenAlexFDO

Authors Hongming Huang, Chihwa Kao, Giovanni Urga

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://surface.syr.edu/cpr/66

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15)

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• scientific article; zbMATH DE number 3742425 (Why is no real title available?)
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• A test for the serial independence of residuals
• An introduction to copulas.
• Empirical process of residuals for high-dimensional linear models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Estimation of copula-based semiparametric time series models
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Multivariate survival distributions
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Testing panel data regression models with spatial error correlation.
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Understanding Relationships Using Copulas

Cited in

(5)

• Rank-based tests of cross-sectional dependence in panel data models
• Asymptotic normal tests for integration in panels with cross-dependent units
• Omnibus test for covariate effects in conditional copula models
• A copula-model based semiparametric interaction test under the case-control design
• A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models

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