Cross-sectional Independence Test for a Class of Parametric Panel Data Models

journal contribution

posted on 2022-11-09, 01:27 authored by Guangming Pan, Jiti Gao, Yanrong Yang, Meihui Guo

This paper proposes a new statistic to conduct cross-sectional independence test for the residuals

History

Classification-JEL

C12, C21, C22

Creation date

2015-09-30

Working Paper Series Number

17/15

Length

44

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2015-17

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Keywords

Characteristic function cross–sectional independence empirical spectral distribution linear panel data models Marcenko-Pastur Law

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