On testing for sphericity with non-normality in a fixed effects panel data model

DOI10.1016/J.SPL.2014.12.017zbMATH Open1321.62085OpenAlexW2030123279MaRDI QIDQ2018631FDOQ2018631

Authors: Badi H. Baltagi, Chihwa Kao, Bin Peng 

Publication date: 24 March 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://www.maxwell.syr.edu/uploadedFiles/cpr/publications/working_papers2/wp176.pdf

Recommendations

• Testing for sphericity in a fixed effects panel data 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
• Test for the covariance matrix in time-varying coefficients panel data models with fixed effects

zbMATH Keywords

panel datacross-sectional dependencesphericityJohn test

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

• Testing panel data regression models with spatial error correlation.
• Title not available (Why is that?)
• Large panels with common factors and spatial correlation
• A well-conditioned estimator for large-dimensional covariance matrices
• On the distribution of the largest eigenvalue in principal components analysis
• Title not available (Why is that?)
• The distribution of a statistic used for testing sphericity of normal distributions
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Tests for high-dimensional covariance matrices
• Efficient estimation of panel data models with strictly exogenous explanatory variables
• Testing for sphericity in a fixed effects panel data model

Cited In (10)

• 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
• Testing for individual sphericity in heterogeneous panels
• Testing for sphericity in a two-way error components panel data model
• Testing for sphericity in a fixed effects panel data model
• Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
• Robust sphericity test in the panel data model
• Testing for sphericity in a fixed effects panel data model with time-varying variances
• A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
• Testing for normality with panel data

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