Copula-based tests for cross-sectional independence in panel models

Hongming Huang, Chihwa Kao, Giovanni Urga

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

This paper proposes the copula-based tests for testing cross-sectional independence of panel models. Crown

Original languageEnglish (US)
Pages (from-to)224-228
Number of pages5
JournalEconomics Letters
Volume100
Issue number2
DOIs
StatePublished - Aug 2008

Keywords

  • Copulas
  • Cross-sectional independence
  • Panel data

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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