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,"
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- M. Hashem Pesaran, 2004.
"General Diagnostic Tests for Cross Section Dependence in Panels,"
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- Pesaran, M.H., 2004. "‘General Diagnostic Tests for Cross Section Dependence in Panels’," Cambridge Working Papers in Economics 0435, Faculty of Economics, University of Cambridge.
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.
- 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.
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
- Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003.
"Testing panel data regression models with spatial error correlation,"
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Elsevier, vol. 117(1), pages 123-150, November.
- Badi H. Baltagi & Seuck Heun Song & Won Koh, 2002. "Testing Panel Data Regression Models with Spatial Error Correlation," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B6-4, International Conferences on Panel Data.
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