Document Type

Working Paper

Date

2009

Embargo Period

9-1-2010

Keywords

Sphericity, panel data, cross-sectional dependence, John test

Language

English

Disciplines

Statistics and Probability

Description/Abstract

This paper proposes a test for sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf (2002) to test for sphericity of the error terms in a fixed effects panel model with a large number of cross-sectional units and time series observations. Since the errors are unobservable, the residuals from the fixed effects regression are used. The limiting distribution of the proposed test statistic is derived. Additionally, its finite sample properties are examined using Monte Carlo simulations.

Additional Information

Harvest from RePEc at http://repec.org

Source

Metadata from RePEc

Creative Commons License


This work is licensed under a Creative Commons Attribution 3.0 License.