Similar Search Results

Testing for Sphericity in a Fixed Effects Panel Data Model (Revised July 2009)

Baltagi, Badi H.; Feng, Qu; Kao, Chihwa - Center for Policy Research, Maxwell School - 2009

This paper proposes a test for sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf (2002) to test for sphericity of the error terms in a fixed effects panel model with a large number of cross-sectional units and time series...

Persistent link: https://www.econbiz.de/10005056604

Identification and estimation of a large factor model with structural instability

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - 2016

Persistent link: https://www.econbiz.de/10011687505

Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: Econometric reviews 36 (2017) 1/3, pp. 85-102

Persistent link: https://www.econbiz.de/10011794682

Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model

Baltagi, Badi H.; Kao, Chihwa; Wang, Fa - In: Econometric reviews 36 (2017) 6/9, pp. 853-882

Persistent link: https://www.econbiz.de/10011795516