Testing for error cross-sectional independence using pairwise augmented regressions

DOI10.1111/ECTJ.12067MaRDI QIDQ5093944zbMATH OpenOpenAlexFDO

Authors Guangyu Mao

Publication date 2 August 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/ectj.12067

zbMATH Keywords

cross-sectional dependenceheterogeneous panelshigh dimensionindependence testlow sample sizesimultaneous limits

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(8)

• Max-sum tests for cross-sectional independence of high-dimensional panel data
• Testing for covariance matrices in time-varying coefficient panel data models with fixed effects
• A heteroskedasticity robust test for cross-sectional correlation in a fixed effects panel data model
• A test of cross section dependence for a linear dynamic panel model with regressors
• A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
• Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models
• Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
• Market integration, systemic risk and diagnostic tests in large mixed panels

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