.png){kind=icon}
返回
ASSESSING CROSS-SECTIONAL CORRELATION IN PANEL-DATA
.png){kind=icon}
PRE
AI
DOI：10.1016/0304-4076(94)01658-M.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
Consider drawing a sample of 'n' experimental units where each unit is observed over 'T' time periods. Are the draws independent? A test statistic introduced by Breusch and Pagan (1980) is one measure used to quantify the amount of cross-sectional correlation. It is effective when T is large relative to n and, as shown by Breusch and Pagan, has desirable asymptotic (in T) properties. In this paper, we consider the case often encountered in the analysis of panel data, where n is large relative to T. Here, the Breusch and Pagan statistic does not enjoy the same desirable asymptotic (in n) properties. In fact, we show that the asymptotic distribution depends on the parent population even under the hypothesis of no cross-sectional correlations. Thus, we introduce a distribution-free statistic that does not have this drawback. Asymptotic properties of the new statistic are established, when the data are drawn from identical distributions and when the statistic is evaluated using residuals from a complex model. Both the Breusch and Pagan statistic and the new statistic are shown to be members of a more general family. By considering this generalization, finite-sample properties of members of the family are easily established. Further, it turns out that a statistic introduced by Friedman (1937) is another special case of this family.
Keyword:
RESIDUALS
DIAGNOSTIC TESTS
RANDOM EFFECTS
NONPARAMETRIC ESTIMATION
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
4
论文数:
5.2K
被引数:
3.0W
机构
暂无机构信息
引用论文
Tuning the water permeability of ultra-high molecular weight polyethylene microporous membrane by molecular self-assembly and flow field.png)
Polymer
PolymerIF0
PREAI
分享收藏
没有更多内容
没有更多内容