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A robust test for error cross-section correlation in panel models
Leslie George Godfrey
Takashi Yamagata Discussion Papers from Department of Economics, University of York
A wild bootstrap test of the null hypothesis that the errors of a panel data model are not correlated over cross-section units is proposed. The new test is more generally applicable than others that use the restrictive assumptions of normality and homoskedasticity. Monte Carlo results indicate that the new test is reliable.
Keywords: Cross-section correlation; Wild bootstrap; Robust test (search for similar items in EconPapers)
JEL-codes: C12 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-mic
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Persistent link: http://EconPapers.repec.org/RePEc:yor:yorken:10/16
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