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   Check publisher's open access policy
ISSN 0266-4666
1469-4360
Publication date 2012-10
Sub-type Article (original research)
DOI 10.1017/S0266466612000072
Volume 28
Issue 5
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 (original research)
Collections: School of Mathematics and Physics
Official 2013 Collection
 
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