Robust sphericity test in the panel data model

Xiaoxu Zhang, Ping Zhao and Long Feng

Statistics & Probability Letters, 2022, vol. 182, issue C

Abstract: This paper proposes a test for the null of sphericity in the panel data model. We proposed a novel multivariate sign test for sphericity based on sample splitting and leave out method in the panel data model. The limiting distribution of the proposed test statistic is derived under the null and alternative hypothesis. Simulation studies also demonstrate the advantage of our method.

Keywords: Cross-sectional dependence; High dimension; Multivariate-sign; Panel data; Sphericity (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2021.109304

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