Baltagi, Badi; Kao, Chihwa; Na, Sanggon - In: Statistical Papers 54 (2013) 4, pp. 1067-1094
This paper considers testing for cross-sectional dependence in a panel factor model. Based on the model considered by Bai (Econometrica 71: 135–171, <CitationRef CitationID="CR3">2003</CitationRef>), we investigate the use of a simple <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$F$$</EquationSource> </InlineEquation> test for testing for cross-sectional dependence when the factor may be known or unknown. The...</equationsource></inlineequation></citationref>