A REVIEW AND COMPARISON OF TESTS OF CROSS-SECTION INDEPENDENCE IN PANELS

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Testing Weak Cross-Sectional Dependence in Large Panels (2012, unknown): “But under (39) and (15) and setting T = O (N ), we have p T N N X”
Productivity Analysis in Global Manufacturing Production (2010, methodology): “…2003; Bond, Leblebicioglu, & Schiantarelli, 2007) as well as of accounting for cross-section correlation in the panel (Westerlund & Edgerton, 2008; Moscone & Tosetti, 2009; Sarafidis & Wansbeek, 2010).1 We adopt a common factor modelling framework (Bai & Ng, 2004; Pesaran, 2006; Kapetanios,…”
A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models (2017, methodology): “It is common practice, in the literature, for tests of H0 : E[uitujt] = 0 to be constructed under the stronger assumption of contemporaneous independence; see, inter alia, Moscone and Tosetti (2009) and Pesaran et al (2008). The asymptotic validity of the test procedure proposed in this paper does n”