A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model

@inproceedings{Wolf2012ALM,
  title={A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model},
  author={D P Wolf and John Yinger and G. Cramer},
  year={2012}
}
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 fact, a scaled version of this LM test was proposed by Pesaran (2004) and its finite sample bias was corrected by Pesaran, Ullah and Yamagata (2008). This was done in the context of a heterogeneous panel… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

References

Publications referenced by this paper.
Showing 1-10 of 36 references

“Cross-section Regression with Common Shocks,”Econometrica

D.W.K. Andrews
2005
View 8 Excerpts
Highly Influenced

“Asymptotically Unbiased Inference for a Dynamic Panel Data Model with Fixed E¤ects,”Econometrica

J. Hahn, G. Kuersteiner
2002
View 9 Excerpts
Highly Influenced

“Spatial Dependence in Linear Regression Models with an Introduction to Spatial Econometrics”

L. Anselin, A. K. Bera
Handbook of Applied Economic Statistics, • 1998
View 4 Excerpts
Highly Influenced

“Some Tests of Speci…cation for Panel Data: Monte Carlo Evidence and an Application of Employment Equations,”Review

M. Arellano, S. Bond
Economics Studies, • 1991
View 6 Excerpts
Highly Influenced

Spatial Econometrics: Methods and Models. Kluwer Academic Publishers, Dordrecht

L. Anselin
1988
View 5 Excerpts
Highly Influenced

Econometric Analysis of Panel Data

B. H. Baltagi
2008
View 3 Excerpts
Highly Influenced

“Panels with Nonstationary Multifactor Error Structures”

G. Kapetanios, M. H. Pesaran, T. Yamagata
Journal of Econometrics, • 2011

Similar Papers

Loading similar papers…