Baltagi, Badi H.; Feng, Qu; Kao, Chihwa - In: Econometrics Journal 14 (2011) 02, pp. 25-47
<b> </b> This paper proposes a test for the null of sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf to test for the null of sphericity of the error terms in a fixed effects panel model with a large number of cross‐sectional...
