A bias-adjusted LM test of error cross-section independence
By M. Pesaran, Aman Ullah, Takashi Yamagata. 2008
1,711 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/402e1ca0d594b5146722028d0de17573ceb268f5
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In Economics and Econometrics
- Muhammad Shahbaz
- Syed Jawad Hussain Shahzad
- Mantu Kumar Mahalik
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Citations in the corpus
- A test of cross section dependence for a linear dynamic panel model with regressors (2009, methodology): “In the same manner as DDIF2, we de ne the Sargans di¤erence test statistic based on SYS estimator DSY S2 = (SSY S2 SSY SX2) (35) where SSY S2 is Sargans test statistic of overidentifying restrictions based on the twostep SYS estimator that makes use of both sets of moment conditions I and II in Pr”
- An Evaluation of the Tourism-Induced Environmental Kuznets Curve (T-EKC) Hypothesis: Evidence from G7 Countries (2020, methodology): “In this case, [36] developed a scaled form of the given LMBP statistic, namely, the CDLM statistics for checking the CD. Finally, the CDLMadj test is a modified version of the LM test (elaborated by Pesaran et al. (2008) [37]).”
- Large Panel Data Models with Cross-Sectional Dependence: A Surevey (2013, methodology): “The adjusted LM statistic is now given by LMAdj = s 2 N(N 1) N 1 ∑ i=1 N ∑ j=i+1 (T k) ρ̂2ij µTij vTij , where µTij and vTij depends on T , k, and fxitg and their expressions are provided in Pesaran and Ullah and Yamagata (2008).”
- Does Globalisation Worsen Environmental Quality in Developed Economies? (2018, methodology): “…this issue, we apply the cross-sectional independence and slope homogeneity tests to decide the appropriate panel causality approaches proposed by Pesaran et al. (2008) and Pesaran & Yamagata (2008). pioneered the Environmental Kuznets curve (EKC) that establishes the debatable relationship…”
- Renewable energy and growth: Evidence from heterogeneous panel of G7 countries using Granger causality (2015, methodology): “7 However, the Cross sectional Dependence (CD) test is subject to decreasing power in situations that the population average pair-wise correlations are zero, although the underlying individual population pair-wise correlations are non-zero [23].”