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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Veröffentlicht in:	Journal of business & economic statistics Jg. 40; H. 3; S. 1191 - 1203
Hauptverfasser:	Juodis, Artūras, Reese, Simon
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Alexandria Taylor & Francis 2022 Taylor & Francis Ltd
Schlagworte:	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-Zugang:	Volltext
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