"On Testing for Sphericity with Non-normality in a Fixed Effects Panel Data Model

Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a xed e¤ects panel data regression model without the normality assumption on the disturbances.

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Year of publication:	2014-12
Authors:	Baltagi, Badi H. ; Kao, Chihwa ; Peng, Bin
Institutions:	Center for Policy Research, Maxwell School
Subject:	Sphericity \| Panel Data \| Cross-sectional Dependence \| John Test

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Extent:	application/pdf
Series:	Center for Policy Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 176 17 pages
Classification:	C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011269088