High dimensional cross-sectional dependence test under arbitrary serial correlation

作     者：LAN Wei PAN Rui LUO RongHua CHENG YongWei 

作者机构：Statistics School and Center of Statistical ResearchSouthwestern University of Finance and Economics Chengdu 611130 China School of Statistics and Mathematics Central University of Finance and Economics Beijing 100081 China School of Finance Southwestern University of Finance and Economics Chengdu 611130 China Institute of Economics Tsinghua University Beijing 100084 China 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2017年第60卷第2期

页      面：345-360页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by National Natural Science Foundation of China (Grant Nos. 11001225  11401482 and 71532001) 

主　　题：CD test cross-sectional dependence panel data serial correlation 

摘      要：In panel data analysis,the cross-sectional dependence(CD)test has been extensively used to test the cross-sectional ***,this traditional CD test does not take serial correlation into consideration,which commonly occurs in many *** solve this problem,we propose an adjusted CD test which is able to effectively handle serial *** specifically,the serial correlation can be of arbitrary form in our ***,we establish the theoretical properties of the proposed adjusted CD *** extensive Monte Carlo experiments show that the traditional CD test cannot work well under serial correlation,while the proposed adjusted CD test does provide rather satisfactory performance.