Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance–covariance matrix in a fixed effects panel data regression model without the normality assumption on the disturbances.

This paper studies test of hypotheses for the slope parameter in a linear time trend panel data model with serially correlated error component disturbances. We propose a test statistic that uses a bias corrected estimator of the serial correlation parameter. The proposed test statistic which is...

<title>Abstract</title> This paper considers the estimation of a linear regression involving the spatial autoregressive (SAR) error term which is nearly nonstationary. The asymptotics properties of the ordinary least squares (OLS), true generalized least squares (GLS) and feasible generalized least squares...

It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is small. In...

This paper considers testing for cross-sectional dependence in a panel factor model. Based on the model considered by Bai (Econometrica 71: 135–171, <CitationRef CitationID="CR3">2003</CitationRef>), we investigate the use of a simple <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$F$$</EquationSource> </InlineEquation> test for testing for cross-sectional dependence when the factor may be known or unknown. The...</equationsource></inlineequation></citationref>