A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*

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

zbMATH Keywords

random matrix theorylarge panelscross-sectional independencehigh-dimensional Lagrange-multiplier test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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