Testing for sphericity in a fixed effects panel data model with time-varying variances
DOI10.1016/J.ECONLET.2019.05.012zbMATH Open1420.62255OpenAlexW2944487689MaRDI QIDQ2311151FDOQ2311151
Authors: Bin Peng, Xinyuan Shen, Jinqi Ye 
Publication date: 10 July 2019
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2019.05.012
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Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)
Cites Work
- Weak and strong cross-section dependence and estimation of large panels
- 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
- Tests for high-dimensional covariance matrices
- Asymptotic power of sphericity tests for high-dimensional data
- Testing for sphericity in a fixed effects panel data model
- On Structure Testing for Component Covariance Matrices of a High Dimensional Mixture
- On testing for sphericity with non-normality in a fixed effects panel data model
- A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
- Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
Cited In (10)
- Testing for covariance matrices in panel data models with interactive fixed effects
- 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
- On testing for sphericity with non-normality in a fixed effects panel data model
- Testing for parameter constancy in the time series direction in panel data models
- 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
- Robust sphericity test in the panel data model
- A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
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