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On testing for sphericity with non-normality in a fixed effects panel data model

Badi Baltagi (), Chihwa Kao () and Bin Peng ()

Statistics & Probability Letters, 2015, vol. 98, issue C, 123-130

Abstract: Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance–covariance matrix in a fixed effects panel data regression model without the normality assumption on the disturbances.

Keywords: Sphericity; Panel data; Cross-sectional dependence; John test (search for similar items in EconPapers)
Date: 2015
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