"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
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)
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Journal Article: On testing for sphericity with non-normality in a fixed effects panel data model (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:176
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