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

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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)

Cites Work

• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Bootstrap procedures under some non-i.i.d. models
• When does bootstrap work! Asymptotic results and simulations
• Bootstrap and wild bootstrap for high dimensional linear models
• Title not available (Why is that?)
• Panel data models with interactive fixed effects
• The wild bootstrap, tamed at last
• Testing for complete independence in high dimensions
• Cross-Section Regression with Common Shocks
• Panel cointegration with global stochastic trends
• Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data
• The ANOVA \(F\) test can still be used in some balanced designs with unequal variances and nonnormal data
• ANOVA and rank tests when the number of treatments is large
• Bootstrapping factor-augmented regression models
• The asymptotic distribution of the F‐test statistic for individual effects
• Asymptotics for Analysis of Variance When the Number of Levels is Large
• On the robustness of the F-test to autocorrelation among disturbances

Cited In (8)

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

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