A bias-corrected Srivastava-type test for cross-sectional independence

DOI10.1016/J.JMVA.2024.105371MaRDI QIDQ6656665FDOQ6656665

Authors: Kai Xu, Ming Xiang Cao, Qing Cheng 

Publication date: 3 January 2025

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

panel dataLagrange multiplier testcross-sectional independenceSrivastava test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Multivariate analysis (62Hxx)

Cites Work

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• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Tests for high-dimensional covariance matrices
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• 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
• Rank correlation and product-moment correlation
• Rank-based tests of cross-sectional dependence in panel data models
• Max-sum tests for cross-sectional independence of high-dimensional panel data

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