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

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Abstract

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

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  • Badi H. Baltagi & Chihwa Kao & Bin Peng, 2014. ""On Testing for Sphericity with Non-normality in a Fixed Effects Panel Data Model," Center for Policy Research Working Papers 176, Center for Policy Research, Maxwell School, Syracuse University.
    • Handle: RePEc:max:cprwps:176
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    References listed on IDEAS

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    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    2. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
    3. Badi H. Baltagi & Qu Feng & Chihwa Kao, 2011. "Testing for sphericity in a fixed effects panel data model," Econometrics Journal, Royal Economic Society, vol. 14(1), pages 25-47, February.
    4. Chen, Song Xi & Zhang, Li-Xin & Zhong, Ping-Shou, 2010. "Tests for High-Dimensional Covariance Matrices," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 810-819.
    5. Pesaran, M. Hashem & Tosetti, Elisa, 2011. "Large panels with common factors and spatial correlation," Journal of Econometrics, Elsevier, vol. 161(2), pages 182-202, April.
    6. T. S. Breusch & A. R. Pagan, 1980. "The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 239-253.
    7. Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003. "Testing panel data regression models with spatial error correlation," Journal of Econometrics, Elsevier, vol. 117(1), pages 123-150, November.
    8. M. Hashem Pesaran, 2021. "General diagnostic tests for cross-sectional dependence in panels," Empirical Economics, Springer, vol. 60(1), pages 13-50, January.
    9. repec:hal:journl:peer-00796743 is not listed on IDEAS
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    Cited by:

    1. Peng, Bin & Shen, Xinyuan & Ye, Jinqi, 2019. "Testing for sphericity in a fixed effects panel data model with time-varying variances," Economics Letters, Elsevier, vol. 181(C), pages 85-89.
    2. Rafaela Dezidério dos Santos Rocha & Márcio Laurini, 2023. "Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market," IJFS, MDPI, vol. 11(4), pages 1-31, December.
    3. M. Hashem Pesaran, 2021. "General diagnostic tests for cross-sectional dependence in panels," Empirical Economics, Springer, vol. 60(1), pages 13-50, January.
    4. Zhang, Xiaoxu & Zhao, Ping & Feng, Long, 2022. "Robust sphericity test in the panel data model," Statistics & Probability Letters, Elsevier, vol. 182(C).
    5. Giovanni Millo, 2024. "An Ad Hoc Procedure for Testing Serial Correlation in Spatial Fixed-Effects Panels," Mathematics, MDPI, vol. 12(10), pages 1-18, May.

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    More about this item

    Keywords

    Sphericity; Panel Data; Cross-sectional Dependence; John Test;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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