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

DOI10.1016/J.CSDA.2020.107070MaRDI QIDQ830595zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
• A NEW MEASURE OF RANK CORRELATION
• A bias-adjusted LM test of error cross-section independence
• A consistent test of independence based on a sign covariance related to Kendall's tau
• A two sample test in high dimensional data
• An analysis of variance test for normality (complete samples)
• Approximation Theorems of Mathematical Statistics
• Assessing cross-sectional correlation in panel data
• Common risk factors in the returns on stocks and bonds
• Cross-Section Regression with Common Shocks
• Efficient computation of the Bergsma-Dassios sign covariance
• Fast algorithms for the calculation of Kendall's \(\tau\)
• Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
• 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
• Testing weak cross-sectional dependence in large panels
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(9)

• A bias-corrected Srivastava-type test for cross-sectional independence
• Cross-Sectional Dependence in Panel Data Analysis
• Specifying and testing econometric models for rank-ordered data
• A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
• Max-sum tests for cross-sectional independence of high-dimensional panel data
• Testing for normality with panel data
• A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models
• Asymptotic normal tests for integration in panels with cross-dependent units
• A robust test for network generated dependence

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Uses Software

• MNM

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