On testing for sphericity with non-normality in a fixed effects panel data model

Badi H. Baltagi, Chihwa Kao, Bin Peng

Research output: Contribution to journalArticle

6 Scopus citations

Abstract

Building upon the work of Chen etal. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a fixed effects panel data regression model without the normality assumption on the disturbances.

Original languageEnglish (US)
Pages (from-to)123-130
Number of pages8
JournalStatistics and Probability Letters
Volume98
DOIs
StatePublished - Mar 1 2015

Keywords

  • Cross-sectional dependence
  • John test
  • Panel data
  • Sphericity

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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