The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation

In this article, we consider the properties of the Pesaran CD test for cross-section correlation when applied to residuals obtained from panel data models with many estimated parameters. We show that the presence of period-specific parameters leads the CD test statistic to diverge as the time dimens...

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Bibliographic Details

Published in:	Journal of business & economic statistics Vol. 40; no. 3; pp. 1191 - 1203
Main Authors:	Juodis, Artūras, Reese, Simon
Format:	Journal Article
Language:	English
Published:	Alexandria Taylor & Francis 2022 Taylor & Francis Ltd
Subjects:	Cross-section dependence Factor model Longitudinal studies Matematik Mathematical Sciences Natural Sciences Naturvetenskap Panel data Probability Theory and Statistics Sannolikhetsteori och statistik Time fixed effects U-statistic
ISSN:	0735-0015, 1537-2707, 1537-2707
Online Access:	Get full text
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