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

DOI10.1007/S00362-013-0499-9MaRDI QIDQ379922zbMATHOpenAlexFDO

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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