Hsiao, Cheng (contributor); Pesaran, M. Hashem (contributor) - 2007
Prucha (1999) and Lee (2002).
Another approach to testing cross sectional dependence is to directly test
if the cross … cor-
related, "t » (0;§), where "t = ("1t;"2t;:::;"Nt)0. This paper focuses on
testing § = D against § 6= D, where D is a … +eit;
where i isthevectoroffactorloadings,ft » iid(0;§f), andeit » iid¡0; 2e¢.
3 Testing for cross section independence …