Copula-Based Tests for Cross-Sectional Independence in Panel Models
AbstractThis paper processes copula-based tests for testing cross-sectional independence of panel models.
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Bibliographic InfoPaper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 99.
Length: 14 pages
Date of creation: Dec 2007
Date of revision:
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More information through EDIRC
Copulas; Panel data; Cross-sectional independence;
Other versions of this item:
- Huang, Hongming & Kao, Chihwa & Urga, Giovanni, 2008. "Copula-based tests for cross-sectional independence in panel models," Economics Letters, Elsevier, vol. 100(2), pages 224-228, August.
- 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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- Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 239-53, January.
- 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.
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