General diagnostic tests for cross-sectional dependence in panels

This paper proposes simple tests of error cross-sectional dependence which are applicable to a variety of panel data models, including stationary and unit root dynamic heterogeneous panels with short T and large N . The proposed tests are based on the average of pair-wise correlation coefficients of...

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Veröffentlicht in:	Empirical economics 2021, Vol.60 (1), p.13-50
1. Verfasser:	Pesaran, M. Hashem
Format:	Artikel
Sprache:	eng
Schlagworte:	Diagnostic tests Econometrics Economic theory Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Finance Innovations Insurance Lagrange multiplier Management Panel data Power Statistics for Business Unit roots
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