A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models

Chen, Jia, Gao, Jiti and Li, Degui (2012) A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models. Econometric Theory, 28 5: 1144-1163.


Author Chen, Jia
Gao, Jiti
Li, Degui
Title A new diagnostic test for cross-section uncorrelatedness in nonparametric panel data models
Journal name Econometric Theory  (ERA 2012 Listed)    (ERA 2010 Rank A*)   Check publisher's open access policy
Publication date 2012-10
Sub-type Article
DOI 10.1017/S0266466612000072
Volume number 28
Issue number 5
ISSN 0266-4666; 1469-4360
Start page 1144
End page 1163
Total pages 20
Place of publication Cambridge, United Kingdom
Publisher Cambridge University Press
Collection year 2013
Language eng
Abstract In this paper, we propose a new diagnostic test for residual cross-section uncorrelatedness (CU) in a nonparametric panel data model. The proposed nonparametric CU test is a nonparametric counterpart of an existing parametric cross-section dependence test proposed in Pesaran (2004, Cambridge Working paper in Economics 0435). Without assuming cross-section independence, we establish asymptotic distribution for the proposed test statistic for the case where both the cross-section dimension and the time dimension go to infinity simultaneously, and then analyze the power function of the proposed test under a sequence of local alternatives that involve a nonlinear multifactor model. The simulation results and real data analysis show that the nonparametric CU test associated with an asymptotic critical value works well.
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Published online: 27 April 2012.

Document type: Journal Article
Sub-type: Article
Collections: School of Mathematics and Physics
Official 2013 Collection
 
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