On Testing for Sphericity with Non-normality in a Fixed Effects Panel Data Model

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse UniversityFollow
Chihwa Kao, Syracuse UniversityFollow
Bin Peng, Syracuse UniversityFollow

Description/Abstract

Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a fixed effects panel data regression model without the normality assumption on the disturbances.

Document Type

Working Paper

Date

Fall 12-2014

Keywords

Panel Data, Cross-sectional Dependence, John Test

Language

English

Series

Working Papers Series

Disciplines

Economics | Macroeconomics | Public Affairs, Public Policy and Public Administration | Public Economics

Additional Information

Working paper no. 176

The authors would like to thank the Associate editor and two anonymous referees for their helpful comments and suggestions.

Recommended Citation

Baltagi, Badi H.; Kao, Chihwa; and Peng, Bin, "On Testing for Sphericity with Non-normality in a Fixed Effects Panel Data Model" (2014). Center for Policy Research. 208.
https://surface.syr.edu/cpr/208

Source

Local input

Creative Commons License

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