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)

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Cites work

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Cited in

(4)

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

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