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

DOI10.1016/J.CSDA.2020.107070OpenAlexW3082381202MaRDI QIDQ830595FDOQ830595

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)

Cites Work

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

Cited In (5)

• Asymptotic normal tests for integration in panels with cross-dependent units
• Specifying and testing econometric models for rank-ordered data
• Cross-Sectional Dependence in Panel Data Analysis
• A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
• A bias-corrected Srivastava-type test for cross-sectional independence

Uses Software

• MNM

   Recommendations

• Panel Cointegration Rank Testing with Cross-Section Dependence 👍 👎
• Intersection tests for the cointegrating rank in dependent panel data 👍 👎
• Copula-based tests for cross-sectional independence in panel models 👍 👎
• Rank-based test for slope homogeneity in high-dimensional panel data models 👍 👎
• A test of cross section dependence for a linear dynamic panel model with regressors 👍 👎
• Nonparametric rank tests for non-stationary panels 👍 👎
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model 👍 👎
• Cross-Sectional Dependence in Panel Data Analysis 👍 👎
• A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence 👍 👎
• Testing Weak Cross-Sectional Dependence in Large Panels 👍 👎

This page was built for publication: Rank-based tests of cross-sectional dependence in panel data models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q830595)