A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models
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Cites work
- A bias-adjusted LM test of error cross-section independence
- A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
- A Probability Distribution and Its Uses in Fitting Data
- A test of cross section dependence for a linear dynamic panel model with regressors
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
- Assessing cross-sectional correlation in panel data
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap procedures under some non-i.i.d. models
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors
- Does human capital matter for growth in OECD countries? A pooled mean-group approach.
- Efficient Inference in a Random Coefficient Regression Model
- Estimating long-run relationships from dynamic heterogeneous panels
- Heteroskedasticity-robust inference in linear regressions
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 2161246 (Why is no real title available?)
- Jackknife, bootstrap and other resampling methods in regression analysis
- Panel data models with interactive fixed effects
- Testing for a change in persistence in the presence of non-stationary volatility
- Testing for unit roots in heterogeneous panels.
- Testing homogeneity in panel data models with interactive fixed effects
- Testing slope homogeneity in large panels
- Testing weak cross-sectional dependence in large panels
- The \chi^2 Test of Goodness of Fit
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
- The wild bootstrap, tamed at last
Cited in
(8)- The uncertainty of conditional returns, volatilities and correlations in DCC models
- Assessing cross-sectional correlation in panel data
- A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model
- Bootstrapping the Hausman test in panel data models
- A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
- Unified and robust tests for cross sectional independence in large panel data models
- Estimation of heterogeneous panels with structural breaks
- Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test
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