Tests for Cross-Sectional Dependence in Fixed Effects Panel Data Models

Qu Feng and Chihwa Kao

Chapter 2 in Large-Dimensional Panel Data Econometrics:Testing, Estimation and Structural Changes, 2020, pp 7-34 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In recent literature, cross-sectional dependence among individuals is a concern when n is large. As serial correlation in time-series analysis, the cross-sectional of dependence/correlation could invalidate inference. In some cases, it could even render inconsistent estimation. This chapter discusses testing procedures in the fixed effects panel data models, including static and dynamic cases…

Keywords: Correlated Effects; Factor Model; Iterated Principal Components; Structural Change; Common Break; Grouped Pattern; K-means; LASSO; Endogeneity (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
Date: 2020
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