A note on tests of sphericity and cross-sectional dependence for fixed effects panel model

DOI10.1016/j.econlet.2013.11.035zbMath1293.62124OpenAlexW1980780141MaRDI QIDQ2512350

Guangyu Mao

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

zbMATH Keywords

fixed effectssphericitycross-sectional dependencelarge panels

Mathematics Subject Classification ID

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

• Unnamed Item
• 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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