Testing Cross-Section Correlation in Panel Data Using Spacings
نویسندگان
چکیده
منابع مشابه
Testing Cross-Section Correlation in Panel Data Using Spacings
This article provides tools for characterizing the extent of cross-section correlation in panel data when we do not know a priori how many and which series are correlated. Our tests are based on the probability integral transformation of the ordered correlations. We first split the transformed correlations by their size into two groups, then evaluate the variance ratio of the two subsamples. Th...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2006
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500105000000171