High dimensional cross-sectional dependence test under arbitrary serial correlation

DOI10.1007/S11425-014-0731-4MaRDI QIDQ2360967zbMATH OpenOpenAlexFDO

Authors Wei Lan, Rui Pan, Ronghua Luo, YongWei Cheng

Publication date 29 June 2017

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-014-0731-4

zbMATH Keywords

CD testcross-sectional dependencepanel dataserial correlation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• scientific article; zbMATH DE number 3053476 (Why is no real title available?)
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• Testing AR(1) against MA(1) disturbances in an error component model
• Testing covariates in high-dimensional regression
• Testing for heteroskedasticity and serial correlation in a random effects panel data model
• Testing for heteroskedasticity and spatial correlation in a random effects panel data model
• Testing for serial correlation, spatial autocorrelation and random effects using panel data
• Tests for high-dimensional covariance matrices
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Time series analysis. Univariate and multivariate methods.

Cited in

(4)

• Max-sum tests for cross-sectional independence of high-dimensional panel data
• Testing serial correlations in high-dimensional time series via extreme value theory
• Testing for error cross-sectional independence using pairwise augmented regressions
• Market integration, systemic risk and diagnostic tests in large mixed panels

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