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 …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … values of α in the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains lagged …

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. …

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …

causality in dynamic panel data models incorporating unobserved heterogeneity. While Adams et al. tests reject the hypothesis of … no causality from wealth to husband's or wife's health, the tests in the dynamic panel data model do not provide evidence …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important … cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains lagged values of the …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important … cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …

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