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Cross-Sectional Dependence in Panel Data by Abhinav 2.0 is a document available to read on EtoBox.
This paper introduces a new test for cross-sectional dependence in fixed effects panel data models, addressing the issue that ignoring such dependence can lead to incorrect statistical inferences. The proposed test utilizes a Random Matrix Theory approach to derive the limiting distribution of the test statistic, which is based on residuals from the fixed effects regression. The paper also examines the finite sample properties of the test and compares it to traditional methods using Monte Carlo simulations.
- Author
- Abhinav 2.0
- Language
- EN