Search Results - subject:"Large Panel Data Model"

Testing cross-sectional correlation in large panel data models with serial correlation

Baltagi, Badi H.; Kao, Chihwa; Peng, Bin - In: Econometrics 4 (2016) 4, pp. 1-24

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in the errors. To control the size, this paper...

Persistent link: https://www.econbiz.de/10011755347

Testing cross-sectional correlation in large panel data models with serial correlation

Baltagi, Badi H.; Kao, Chihwa; Bin, Peng - 2016

Persistent link: https://www.econbiz.de/10011687485

Testing cross-sectional correlation in large panel data models with serial correlation

Baltagi, Badi H.; Kao, Chihwa; Bin, Peng - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10011650378

The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility

Byun, Sung Je - In: Journal of empirical finance 36 (2016), pp. 162-180

Persistent link: https://www.econbiz.de/10011662839