Testing Weak Cross-Sectional Dependence in Large Panels

Mohammad Pesaran

No 6432, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence ?, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on the relative expansion rates of N and T. When T=O(N^?), for some 0

Keywords: panel data models; diagnostic tests; exponent of cross-sectional dependence; dynamic heterogenous panels (search for similar items in EconPapers)
JEL-codes: C12 C13 C33 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2012-03
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (18)

Published - published in: Econometric Reviews, 2015, 34 (6-10), 1089-1117

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Related works:
Journal Article: Testing Weak Cross-Sectional Dependence in Large Panels (2015)
Working Paper: Testing Weak Cross-Sectional Dependence in Large Panels (2012)
Working Paper: Testing Weak Cross-Sectional Dependence in Large Panels (2012)
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