A test of cross section dependence for a linear dynamic panel model with regressors

DOI10.1016/j.jeconom.2008.10.006zbMath1429.62696MaRDI QIDQ301972

Takashi Yamagata, Vasilis Sarafidis, Donald Robertson

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.006

zbMATH Keywords

dynamic panel data; generalised method of moments; cross section dependence; overidentifying restrictions test

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Testing Independence Among a Large Number of High-Dimensional Random Vectors, Cross-Sectional Dependence in Panel Data Analysis, 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, THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE, Testing for sphericity in a two-way error components panel data model, Fixed T dynamic panel data estimators with multifactor errors, Testing Weak Cross-Sectional Dependence in Large Panels, Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures, A joint serial correlation test for linear panel data models, Inference on factor structures in heterogeneous panels, 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, Estimation of heterogeneous panels with structural breaks, Max-sum tests for cross-sectional independence of high-dimensional panel data, Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure, IV estimation of panels with factor residuals, Unit root tests for panel data with AR(1) errors and small T, A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS, On the impact of error cross-sectional dependence in short dynamic panel estimation

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