A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
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Publication:2512350
DOI10.1016/j.econlet.2013.11.035zbMath1293.62124OpenAlexW1980780141MaRDI QIDQ2512350
Publication date: 7 August 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2013.11.035
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)
Related Items (4)
Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model ⋮ Testing for sphericity in a fixed effects panel data model with time-varying variances ⋮ Robust sphericity test in the panel data model ⋮ Testing for sphericity in a two-way error components panel data model
Cites Work
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- A new test for sphericity of the covariance matrix for high dimensional data
- A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
- On testing for an identity covariance matrix when the dimensionality equals or exceeds the sample size
- 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 for complete independence in high dimensions
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
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