This paper considers the problem of testing cross-sectional correlation in large panel data models with serially …-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in … account for serial correlation of an unknown form in the error term. We derive the limiting distribution of this test as (N …

estimator, we show that when T is large, a generalized least squares estimator that ignores the correlation between the … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …