Rank-based tests of cross-sectional dependence in panel data models
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Publication:830595
DOI10.1016/J.CSDA.2020.107070OpenAlexW3082381202MaRDI QIDQ830595FDOQ830595
Authors: Long Feng, Ping Zhao, Yanling Ding, Binghui Liu 
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
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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 (9)
- Asymptotic normal tests for integration in panels with cross-dependent units
- Specifying and testing econometric models for rank-ordered data
- Max-sum tests for cross-sectional independence of high-dimensional panel 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 robust test for network generated dependence
- A bias-corrected Srivastava-type test for cross-sectional independence
- A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models
- Testing for normality with panel data
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