Testing for sphericity in a fixed effects panel data model with time-varying variances

DOI10.1016/J.ECONLET.2019.05.012MaRDI QIDQ2311151zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fixed effectssphericity testpanel data modeltime-varying variances

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
• Asymptotic power of sphericity tests for high-dimensional data
• Asymptotic power of the sphericity test under weak and strong factors 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
• 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
• Tests for high-dimensional covariance matrices
• The distribution of a statistic used for testing sphericity of normal distributions
• Weak and strong cross-section dependence and estimation of large panels

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
• On testing for sphericity with non-normality in a fixed effects panel data model
• Test for the covariance matrix in time-varying coefficients panel data models with fixed effects
• 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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