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
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)
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Working Paper: "On Testing for Sphericity with Non-normality in a Fixed Effects Panel Data Model (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:98:y:2015:i:c:p:123-130
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