Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test

Badi Baltagi, Chihwa Kao and Sanggon Na ()

Statistical Papers, 2013, vol. 54, issue 4, 1067-1094

Abstract: This paper considers testing for cross-sectional dependence in a panel factor model. Based on the model considered by Bai (Econometrica 71: 135–171, 2003 ), we investigate the use of a simple $$F$$ test for testing for cross-sectional dependence when the factor may be known or unknown. The limiting distributions of these $$F$$ test statistics are derived when the cross-sectional dimension and the time-series dimension are both large. The main contribution of this paper is to propose a wild bootstrap $$F$$ test which is shown to be consistent and which performs well in Monte Carlo simulations especially when the factor is unknown. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Panel factor model; $$F$$ test; Wild bootstrap; Cross-sectional dependence; C12; C15; C33 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00362-013-0499-9 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:54:y:2013:i:4:p:1067-1094

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-013-0499-9

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().