A robust test for error cross-section correlation in panel models

A wild bootstrap test of the null hypothesis that the errors of a panel data model are not correlated over cross-section units is proposed. The new test is more generally applicable than others that use the restrictive assumptions of normality and homoskedasticity. Monte Carlo results indicate that the new test is reliable.

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Year of publication:	2010-07
Authors:	Godfrey, L ; Yamagata, T
Institutions:	Department of Economics and Related Studies, University of York
Subject:	Cross-section correlation \| Wild bootstrap \| Robust test

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008520807