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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 ()

No 176, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a xed e¤ects 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)
JEL-codes: C13 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2014-12
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Journal Article: On testing for sphericity with non-normality in a fixed effects panel data model (2015) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:176

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