A lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model
It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is small. In fact,...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/107476 http://hdl.handle.net/10220/18061 http://dx.doi.org/10.1016/j.jeconom.2012.04.004 |