Testing weak cross-sectional dependence in large panels
From MaRDI portal
Publication:5863573
DOI10.1080/07474938.2014.956623zbMATH Open1491.62251OpenAlexW3122456196MaRDI QIDQ5863573FDOQ5863573
Authors: M. Hashem Pesaran 
Publication date: 3 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1208.pdf
Recommendations
- Cross-Sectional Dependence in Panel Data Analysis
- Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
- Inference and testing breaks in large dynamic panels with strong cross sectional dependence
- Novel panel cointegration tests emending for cross-section dependence with \(N\) fixed
- Testing for panel unit roots under general cross-sectional dependence
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)
Cites Work
- Weak and strong cross-section dependence and estimation of large panels
- Title not available (Why is that?)
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
- A test for spatial autocorrelation in seemingly unrelated regressions
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- Rao's score test in spatial econometrics
- A Laplace approximation to the moments of a ratio of quadratic forms
- A test of cross section dependence for a linear dynamic panel model with regressors
- Funds, Factors, and Diversification in Arbitrage Pricing Models
- Assessing cross-sectional correlation in panel data
- A bias-adjusted LM test of error cross-section independence
- Cross-Sectional Dependence in Panel Data Analysis
- Rank correlation and product-moment correlation
- Testing for sphericity in a fixed effects panel data model
Cited In (29)
- The impact of corporate sustainability performance on advertising efficiency
- Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure
- Rank-based tests of cross-sectional dependence in panel data models
- Consumer panic in the COVID-19 pandemic
- Detecting granular time series in large panels
- Market integration, systemic risk and diagnostic tests in large mixed panels
- Spatial dependence in small cooperative bank risk behavior and its effects on bank competitiveness and SMEs
- Common factors and spatial dependence: an application to US house prices
- The Special Issue in Honor of Aman Ullah: An Overview
- Two-way fixed effects versus panel factor-augmented estimators: asymptotic comparison among pretesting procedures
- Max-sum tests for cross-sectional independence of high-dimensional panel data
- A multiple testing approach to the regularisation of large sample correlation matrices
- Statistical Inference on Panel Data Models: A Kernel Ridge Regression Method
- Estimation and inference in heterogeneous spatial panels with a multifactor error structure
- Examining the network effects in bank risk: evidence from liquidity creation in mutual banks
- Rank-based max-sum tests for mutual independence of high-dimensional random vectors
- The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
- An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
- A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model
- A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
- Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
- An alternative semiparametric model for spatial panel data
- Are US real house prices stationary? New evidence from univariate and panel data
- A bias-corrected Srivastava-type test for cross-sectional independence
- Exponent of cross-sectional dependence for residuals
- Income inequality and economic growth: heterogeneity and nonlinearity
- Efficient estimation of a partially linear panel data model with cross-sectional dependence
- Intersection tests for the cointegrating rank in dependent panel data
- A heteroskedasticity robust Breusch-Pagan test for contemporaneous correlation in dynamic panel data models
This page was built for publication: Testing weak cross-sectional dependence in large panels
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5863573)
