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Testing Weak Cross-Sectional Dependence in Large Panels

M Pesaran ()

No 6432, IZA Discussion Papers from Institute for the Study of Labor (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 α, 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^ϵ), for some 0

Keywords: exponent of cross-sectional dependence; diagnostic tests; panel data models; dynamic heterogenous panels (search for similar items in EconPapers)
JEL-codes: C12 C13 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets
Date: 2012-03
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Working Paper: Testing Weak Cross-Sectional Dependence in Large Panels (2012) Downloads
Working Paper: Testing Weak Cross-Sectional Dependence in Large Panels (2012) Downloads
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