Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model

DOI10.1080/07474938.2017.1307580MaRDI QIDQ5864652zbMATH OpenOpenAlexFDO

Authors Badi H. Baltagi, Chihwa Kao, Fa Wang

Publication date 8 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/20450/1/Asymptotic%20Power%20of%20The%20Sphericity%20Test%20Under%20Weak%20and%20Strong%20Factors%20in%20a%20Fixed%20Effects%20Panel%20Data%20Model.pdf

zbMATH Keywords

high-dimensional inferencepanel dataasymptotic powersphericityJohn testweak factorstrong factor

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Testing for sphericity in a fixed effects panel data model with time-varying variances
• Testing for sphericity in a fixed effects panel data model
• Testing for sphericity in a two-way error components panel data model
• Robust sphericity test in the panel data model
• On testing for sphericity with non-normality in a fixed effects panel data model

Cites work

• scientific article; zbMATH DE number 1347881 (Why is no real title available?)
• scientific article; zbMATH DE number 3347500 (Why is no real title available?)
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
• A bias-adjusted LM test of error cross-section independence
• A limit theorem for the norm of random matrices
• An Overview of Dependence in Cross-Section, Time-Series, and Panel Data
• Assessing cross-sectional correlation in panel data
• Asymptotic power of likelihood ratio tests for high dimensional data
• Asymptotic power of sphericity tests for high-dimensional data
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Inferential Theory for Factor Models of Large Dimensions
• Instrumental Variables Regression with Weak Instruments
• Linear Regression Limit Theory for Nonstationary Panel Data
• On consistency and sparsity for principal components analysis in high dimensions
• On the distribution of the largest eigenvalue in principal components analysis
• Optimal hypothesis testing for high dimensional covariance matrices
• Signal detection in high dimension: the multispiked case
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Testing for sphericity in a fixed effects panel data model
• Tests for high-dimensional covariance matrices
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• The distribution of a statistic used for testing sphericity of normal distributions

Cited in

(4)

• Econometric Reviews honors Esfandiar Maasoumi
• Spectral statistics of high dimensional sample covariance matrix with unbounded population spectral norm
• Robust sphericity test in the panel data model
• Testing for sphericity in a fixed effects panel data model with time-varying variances

This page was built for publication: Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864652)