Testing for sphericity in a two-way error components panel data model

DOI10.1080/07474938.2015.1092844MaRDI QIDQ5862482zbMATH OpenOpenAlexFDO

Authors Guangyu Mao

Publication date 9 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2015.1092844

zbMATH Keywords

cross-section dependencefixed effectslarge panelssphericitytwo-way error components

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• 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
• A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
• A test of cross section dependence for a linear dynamic panel model with regressors
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• scientific article; zbMATH DE number 5281111 (Why is no real title available?)
• scientific article; zbMATH DE number 3347500 (Why is no real title available?)
• Panel data models with interactive fixed effects
• Panel data models with spatially correlated error components
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Standardized LM tests for spatial error dependence in linear or panel regressions
• Testing for complete independence in high dimensions
• Testing for sphericity in a fixed effects panel data model
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics

Cited in

(9)

• On testing for sphericity with non-normality in a fixed effects panel data model
• Robust sphericity test in the panel data model
• A note on tests of sphericity and cross-sectional dependence for fixed effects panel model
• Testing for sphericity in a fixed effects panel data model
• scientific article; zbMATH DE number 1136712 (Why is no real title available?)
• Testing for error cross-sectional uncorrelatedness in a two-way error components panel data model
• Testing for individual sphericity in heterogeneous panels
• Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
• The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation

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