Rank-based tests of cross-sectional dependence in panel data models

DOI10.1016/j.csda.2020.107070OpenAlexW3082381202MaRDI QIDQ830595

Binghui Liu, Yanling Ding, Long Feng, Ping Zhao

Publication date: 7 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.107070

zbMATH Keywords

panel data modelsU-statisticscross-sectional dependencerank-based testsrobust to deviation from normality

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• MNM

Cites Work

• A two sample test in high dimensional data
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
• Efficient computation of the Bergsma-Dassios sign covariance
• Multivariate nonparametric methods with R. An approach based on spatial signs and ranks.
• Testing independence in high dimensions using Kendall's tau
• Testing independence in high dimensions with sums of rank correlations
• Assessing cross-sectional correlation in panel data
• A consistent test of independence based on a sign covariance related to Kendall's tau
• Fast algorithms for the calculation of Kendall's \(\tau\)
• Approximation Theorems of Mathematical Statistics
• A bias-adjusted LM test of error cross-section independence
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• An analysis of variance test for normality (complete samples)
• Cross-Section Regression with Common Shocks
• Common risk factors in the returns on stocks and bonds
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements
• A NEW MEASURE OF RANK CORRELATION
• Testing Weak Cross-Sectional Dependence in Large Panels

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