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Robust sphericity test in the panel data model

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  • Zhang, Xiaoxu
  • Zhao, Ping
  • Feng, Long

Abstract

This paper proposes a test for the null of sphericity in the panel data model. We proposed a novel multivariate sign test for sphericity based on sample splitting and leave out method in the panel data model. The limiting distribution of the proposed test statistic is derived under the null and alternative hypothesis. Simulation studies also demonstrate the advantage of our method.

Suggested Citation

  • Zhang, Xiaoxu & Zhao, Ping & Feng, Long, 2022. "Robust sphericity test in the panel data model," Statistics & Probability Letters, Elsevier, vol. 182(C).
    • Handle: RePEc:eee:stapro:v:182:y:2022:i:c:s0167715221002650
    DOI: 10.1016/j.spl.2021.109304
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    References listed on IDEAS

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    1. M. Hashem Pesaran & Aman Ullah & Takashi Yamagata, 2008. "A bias-adjusted LM test of error cross-section independence," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 105-127, March.
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    4. Mao, Guangyu, 2014. "A note on tests of sphericity and cross-sectional dependence for fixed effects panel model," Economics Letters, Elsevier, vol. 122(2), pages 215-219.
    5. Baltagi, Badi H. & Kao, Chihwa & Peng, Bin, 2015. "On testing for sphericity with non-normality in a fixed effects panel data model," Statistics & Probability Letters, Elsevier, vol. 98(C), pages 123-130.
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