A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
From MaRDI portal
Publication:5095204
DOI10.1080/07474938.2021.2009705OpenAlexW4200044367MaRDI QIDQ5095204
Dandan Jiang, Jian-feng Yao, Natalia Bailey
Publication date: 5 August 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2021.2009705
random matrix theorylarge panelscross-sectional independencehigh-dimensional Lagrange-multiplier test
Cites Work
- Unnamed Item
- Unnamed Item
- Spatial correlation robust inference with errors in location or distance
- A test of cross section dependence for a linear dynamic panel model with regressors
- 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
- Assessing cross-sectional correlation in panel data
- Exponent of cross-sectional dependence for residuals
- Random matrix theory in statistics: a review
- Weak and strong cross‐section dependence and estimation of large panels
- Testing for sphericity in a fixed effects panel data model
- A bias-adjusted LM test of error cross-section independence
- Testing for complete independence in high dimensions
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- Cross-Sectional Dependence in Panel Data Analysis
- Large Sample Covariance Matrices and High-Dimensional Data Analysis
- High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications
- Rank correlation and product-moment correlation
- Testing Weak Cross-Sectional Dependence in Large Panels
This page was built for publication: A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*