Document Type

Working Paper

Date

Fall 12-2014

Keywords

Panel Data, Cross-sectional Dependence, John Test

Language

English

Disciplines

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

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.

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.

wp176.pdf (293 kB)
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Source

Local input

Creative Commons License

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

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