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

Badi H. Baltagi; Chihwa Kao; Bin Peng

doi:10.1016/j.spl.2014.12.017

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

Badi H. Baltagi, Chihwa Kao, Bin Peng

Department of Economics

Research output: Contribution to journal › Article › peer-review

9 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 language	English (US)
Pages (from-to)	123-130
Number of pages	8
Journal	Statistics and Probability Letters
Volume	98
DOIs	https://doi.org/10.1016/j.spl.2014.12.017
State	Published - 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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10.1016/j.spl.2014.12.017

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title = "On testing for sphericity with non-normality in a fixed effects panel data model",

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.",

keywords = "Cross-sectional dependence, John test, Panel data, Sphericity",

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AU - Kao, Chihwa

AU - Peng, Bin

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N2 - 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.

AB - 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.

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KW - Panel data

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JO - Statistics and Probability Letters

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

Abstract

Keywords

ASJC Scopus subject areas

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