Testing for cross-sectional dependence in a panel factor model using the wild bootstrap F test

DOI10.1007/S00362-013-0499-9zbMATH Open1416.62387OpenAlexW2097901732MaRDI QIDQ379922FDOQ379922

Authors Chihwa Kao, Sanggon Na, Badi H. Baltagi 

Publication date 11 November 2013

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-013-0499-9

zbMATH Keywords

wild bootstrapcross-sectional dependence\(F\) testpanel factor model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

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Cites work

• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• ANOVA and rank tests when the number of treatments is large
• Asymptotics for Analysis of Variance When the Number of Levels is Large
• Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping factor-augmented regression models
• Cross-Section Regression with Common Shocks
• Determining the Number of Factors in Approximate Factor Models
• Inferential Theory for Factor Models of Large Dimensions
• On the robustness of the F-test to autocorrelation among disturbances
• Panel cointegration with global stochastic trends
• Panel data models with interactive fixed effects
• Testing for complete independence in high dimensions
• The ANOVA \(F\) test can still be used in some balanced designs with unequal variances and nonnormal data
• The asymptotic distribution of the F‐test statistic for individual effects
• The wild bootstrap, tamed at last
• When does bootstrap work! Asymptotic results and simulations

Cited in

(9)

• Quantifying the data-dredging bias in structural break tests
• Bootstrapping factor models with cross sectional dependence
• Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
• Inference on factor structures in heterogeneous panels
• Testing weak cross-sectional dependence in large panels
• On the determination of the number of factors using information criteria with data-driven penalty
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• A Bayesian-motivated test for high-dimensional linear regression models with fixed design matrix
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap

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