Test for the covariance matrix in time-varying coefficients panel data models with fixed effects-Reference-Cited by-同舟云学术

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Test for the covariance matrix in time-varying coefficients panel data models with fixed effects

Published:2020-11-25 Issue:2 Volume:50 Page:544-564
ISSN:1226-3192
Container-title:Journal of the Korean Statistical Society
language:en
Short-container-title:J. Korean Stat. Soc.

Author:

Hu Yuping,Feng Sanying,Zhao Jing

Funder

National Social Science Foundation of China

National Key Technology Program

National Statistical Science Research Project of China

The Foundation of Henan Educational Committee

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s42952-020-00094-1.pdf

Reference20 articles.

1. Andrews, D. W. (2005). Cross-section regression with common shocks. Econometrica, 73(5), 1551–1585.

2. Baltagi, B. H., Bresson, G., & Pirotte, A. (2006). Joint LM test for homoskedasticity in a one-way error component model. Journal of Econometrics, 134(2), 401–417.

3. Baltagi, B. H., Feng, Q., & Kao, C. (2011). Testing for sphericity in a fixed effects panel data model. The Econometrics Journal, 14(1), 25–47.

4. Baltagi, B. H., Jung, B. C., & Song, S. H. (2010). Testing for heteroskedasticity and serial correlation in a random effects panel data model. Journal of Econometrics, 154(2), 122–124.

5. Cai, Z., Fan, J., & Li, R. (2000). Efficient estimation and inferences for varying-coefficient models. Journal of the American Statistical Association, 95(451), 888–902.

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