Testing for covariance matrices in panel data models with interactive fixed effects

DOI10.3969/J.ISSN.1001-4268.2019.06.006MaRDI QIDQ3307494zbMATH OpenFDO

Authors Ranran Chen, Gaorong Li

Publication date 12 August 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2019.06.006

zbMATH Keywords

covariance matricesFrobenius normhigh-dimensional panel datainteractive fixed effect

Mathematics Subject Classification ID

Causal inference from observational studies (62D20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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• Testing for covariance matrices in time-varying coefficient panel data models with fixed effects
• Test for the covariance matrix in time-varying coefficients panel data models with fixed effects
• Inferences in panel data with interactive effects using large covariance matrices
• Testing for heteroskedasticity in panel data models with interactive fixed effects

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