A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models

Natalia Bailey, Dandan Jiang, and Jianfeng Yao

Year of publication:	2022
Authors:	Bailey, Natalia ; Jiang, Dandan ; Yao, Jianfeng
Subject:	Cross-sectional independence \| High-dimensional Lagrange-Multiplier test \| Large panels \| Random Matrix theory \| Panel \| Panel study \| Statistischer Test \| Statistical test \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schätztheorie \| Estimation theory \| Querschnittsanalyse \| Cross-section analysis

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