Serial dependence robust bootstrap test for cross-sectional correlation

DOI10.1093/ECTJ/UTAF009MaRDI QIDQ6864699zbMATH OpenFDO

Authors Ulrich Hounyo, Chihwa Kao, Min Seong Kim

Publication date 3 February 2026

Published in The Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ECTJ/UTAF009

zbMATH Keywords

bootstrapcross-sectional dependence testserial dependence

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A bias-adjusted LM test of error cross-section independence
• A bootstrap procedure for panel data sets with many cross-sectional units
• A Lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
• A spatio-temporal model of house prices in the USA
• Asymptotic properties of a robust variance matrix estimator for panel data when T is large
• Asymptotic theory and wild bootstrap inference with clustered errors
• Bootstrap inference under cross‐sectional dependence
• Cluster-robust inference: a guide to empirical practice
• Cross-Section Regression with Common Shocks
• How Much Should We Trust Differences-In-Differences Estimates?
• Random group effects and the precision of regression estimates
• Testing weak cross-sectional dependence in large panels
• The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
• The jackknife and the bootstrap for general stationary observations
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• The moving blocks bootstrap for panel linear regression models with individual fixed effects
• THE SIZE DISTORTION OF BOOTSTRAP TESTS

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