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General diagnostic tests for cross section dependence in panels
Pesaran, Mohammad Hashem - 2004
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 …
Persistent link: https://www.econbiz.de/10010276163
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General Diagnostic Tests for Cross Section Dependence in Panels
Pesaran, Mohammad Hashem - 2004
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 …
Persistent link: https://www.econbiz.de/10010276182
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Diagnostic tests of cross section independence for nonlinear panel data models
Hsiao, Cheng; Pesaran, Mohammad Hashem; Pick, Andreas - 2007
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …
Persistent link: https://www.econbiz.de/10010276209
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Testing weak cross-sectional dependence in large panels
Pesaran, M. Hashem - 2012
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. …
Persistent link: https://www.econbiz.de/10010281918
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Testing weak cross-sectional dependence in large panels
Pesaran, Hashem - 2012
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 …
Persistent link: https://www.econbiz.de/10010282441
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A robust bootstrap approach to the Hausman test in stationary panel data models
Herwartz, Helmut; Neumann, Michael H. - 2007
In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models … not be met by empirical data. We propose a bootstrap approach to specification testing in panel data models which is …
Persistent link: https://www.econbiz.de/10010296293
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On the existence of the moments of the asymptotic trace statistic
Örsal, Deniz Dilan Karaman; Droge, Bernd - 2009
whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …
Persistent link: https://www.econbiz.de/10010263761
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Valid inference for a class of models where standard inference performs poorly: Including nonlinear regression, ARMA, GARCH, and unobserved components
Ma, Jun; Nelson, Charles R. - 2010
In models that have a representation of the form       ) , ( x g y the Wald test for ˆBeta has systematically wrong size in finite samples when the indentifying parameter Gamma is small relative to its estimation error. An alternative test based on linearization of...
Persistent link: https://www.econbiz.de/10010294011
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10010295747
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Estimation and inference in large heterogeneous panels with a multifactor error structure
Pesaran, Mohammad Hashem - 2004
This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …
Persistent link: https://www.econbiz.de/10010276157