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

DOI10.1007/S42952-020-00094-1MaRDI QIDQ2132006zbMATH OpenOpenAlexFDO

Authors Jing Zhao, Yuping Hu, Sanying Feng

Publication date 27 April 2022

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42952-020-00094-1

zbMATH Keywords

covariance matrixcross-sectional dependencelocal linear estimationsphericitytime-varying coefficients panel data models

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A bias-adjusted LM test of error cross-section independence
• Asymptotics for nonparametric and semiparametric fixed effects panel models
• CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS
• Cross-Section Regression with Common Shocks
• Efficient Estimation and Inferences for Varying-Coefficient Models
• Efficient estimation and variable selection in dynamic panel data partially linear varying coefficient models with incidental parameter
• Estimation in partially linear time-varying coefficients panel data models with fixed effects
• Joint LM test for homoskedasticity in a one-way error component model
• Non-parametric time-varying coefficient panel data models with fixed effects
• Nonparametric estimation of fixed effects panel data models
• Profile likelihood estimation of partially linear panel data models with fixed effects
• Robust tests for heteroskedasticity in the one-way error components model
• Semiparametric trending panel data models with cross-sectional dependence
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Testing for heteroskedasticity and serial correlation in a random effects panel data model
• Testing for sphericity in a fixed effects panel data model
• The distribution of a statistic used for testing sphericity of normal distributions

Cited in

(5)

• On testing for sphericity with non-normality in a fixed effects panel data model
• Testing for covariance matrices in time-varying coefficient panel data models with fixed effects
• Testing for sphericity in a fixed effects panel data model with time-varying variances
• Testing for covariance matrices in panel data models with interactive fixed effects
• Testing for distributional features in varying coefficient panel data models

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