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Copula-Based Tests for Cross-Sectional Independence in Panel Models

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Author Info
Hong-Ming Huang
Chihwa Kao () (Center for Policy Research, Maxwell School, Syracuse University, Syracuse, NY 13244-1020)
Giovanni Urga () (Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, U.K.)

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Abstract

This paper processes copula-based tests for testing cross-sectional independence of panel models.

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File URL: http://www-cpr.maxwell.syr.edu/cprwps/pdf/WP99.pdf
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Publisher Info
Paper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 99.

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Length: 14 pages
Date of creation: Dec 2007
Date of revision:
Handle: RePEc:max:cprwps:99

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Related research
Keywords: Copulas; Panel data; Cross-sectional independence;

Other versions of this item:

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. E. Mammen, . "Empirical Process of Residuals for High-Dimensional Linear Models," Sonderforschungsbereich 373 1994-45, Humboldt Universitaet Berlin.
  2. Andrew Patton, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series 2001-17, Department of Economics, UC San Diego. [Downloadable!]
  3. Andrew J. Patton, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series 2001-09, Department of Economics, UC San Diego. [Downloadable!]
  4. 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. [Downloadable!] (restricted)
    Other versions:
  5. Pesaran, M. Hashem, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," IZA Discussion Papers 1240, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  6. Ng, Serena, 2006. "Testing Cross-Section Correlation in Panel Data Using Spacings," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 12-23, January. [Downloadable!] (restricted)
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Statistics
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