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

DOI10.1016/J.SPL.2014.12.017MaRDI QIDQ2018631zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

panel datacross-sectional dependencesphericityJohn test

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 3347500 (Why is no real title available?)
• A well-conditioned estimator for large-dimensional covariance matrices
• Efficient estimation of panel data models with strictly exogenous explanatory variables
• Large panels with common factors and spatial correlation
• On the distribution of the largest eigenvalue in principal components analysis
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Testing for sphericity in a fixed effects panel data model
• Testing panel data regression models with spatial error correlation.
• Tests for high-dimensional covariance matrices
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• The distribution of a statistic used for testing sphericity of normal distributions

Cited in

(10)

• Testing for normality with panel data
• 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

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