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Testing Weak Cross-Sectional Dependence in Large Panels

2014
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Econometric Reviews
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This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence , introduced recently in Bailey, Kapetanios and Pesaran (2012) . It is shown that the implicit null of the CD test depends on the relative expansion rates of N and T . When T = O (N ), for some 0 < 1; then the implicit null of the CD test is given by 0 < (2 )=4, which gives 0 < 1=4, when N and T tend to in...nity at the same rate

doi:10.1080/07474938.2014.956623
fatcat:uipxf7atwrbozgqnldfg5nzqxu