A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model

DOI10.1016/J.ECONLET.2021.109799MaRDI QIDQ2660044zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 29 March 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.109799

zbMATH Keywords

cross-sectional correlation testfixed effectsheteroskedasticitypanel data

Mathematics Subject Classification ID

Causal inference from observational studies (62D20) Nonparametric robustness (62G35) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

• Testing for heteroskedasticity in two-way fixed effects panel data models
• A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects
• Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
• Testing for heteroskedasticity in fixed effects models
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model

Cites work

• A bias-adjusted LM test of error cross-section independence
• A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
• Testing for error cross-sectional independence using pairwise augmented regressions
• Testing weak cross-sectional dependence in large panels
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(7)

• Intercept homogeneity test for fixed effect models under cross-sectional dependence: some insights
• Assessing cross-sectional correlation in panel data
• A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models
• Testing for heteroskedasticity in two-way fixed effects panel data models
• A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
• Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model

This page was built for publication: A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2660044)