GAO, Jiti; Chen, Jia; Li, Degui - School of Economics, University of Adelaide - 2009
In this paper, we propose a new diagnostic test for residual cross–section independence in a nonparametric panel data model. The proposed nonparametric cross–section dependence (CD) test is a nonparametric counterpart of an existing parametric CD test proposed in Pesaren (2004) for the...