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.
Panel Data, Cross-sectional Dependence, John Test
Working Papers Series
Economics | Macroeconomics | Public Affairs, Public Policy and Public Administration | Public Economics
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.
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