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Asymptotic Properties of Pesaran's CD Test Revisited

Author

Listed:
  • Eugene Kouassi

    () (Department of Economics, University FHB, Abidjan Cocody)

  • Lexi L Setlhare

    () (University of Botswana)

Abstract

In this paper we revisit and derive the asymptotic properties of Pesaran's CD test.

Suggested Citation

  • Eugene Kouassi & Lexi L Setlhare, 2016. "Asymptotic Properties of Pesaran's CD Test Revisited," Economics Bulletin, AccessEcon, vol. 36(4), pages 2569-2578.
  • Handle: RePEc:ebl:ecbull:eb-16-00274
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I4-P247.pdf
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    References listed on IDEAS

    as
    1. M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, vol. 74(4), pages 967-1012, July.
    2. De Hoyos, Rafael E. & Sarafidis, Vasilis, 2006. "Testing for cross-sectional dependence in panel-data models," Stata Journal, StataCorp LP, vol. 6(4), pages 1-15.
    3. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    C24;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

    Statistics

    Access and download statistics

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