This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data … based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …, and as predicted by the theory, quite robust to the presence of unit roots and structural breaks. The use of the CD test …

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …

This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution. …

This paper proposes a modified version of Swamy's test of slope homogeneity for panel data models where the cross …

This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …

This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random … models, and the more recent developments in the area of cross-sectional dependence in panel data models. Keywords: random …

result is shown to hold for pure latent factor models as well as for panel regressions with latent factors. Small sample …

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …