The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
Author:
Affiliation:
1. Amsterdam School of Economics, University of Amsterdam, Amsterdam, Netherlands;;
2. Tinbergen Institute, Amsterdam, Netherlands;;
3. Department of Economics, Lund University, Lund, Sweden
Funder
Netherlands Organization for Scientific Research
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1906687
Reference33 articles.
1. Panel data models with multiple time-varying individual effects
2. A Two-Stage Approach to Spatio-Temporal Analysis with Strong and Weak Cross-Sectional Dependence
3. A discrete-choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance
4. A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS
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