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 …

macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on …

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The … combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …

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 …. -- exponent of cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … for values of α in the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains … cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors …