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Testing cross-sectional correlation in large panel data models with serial correlation

Baltagi, Badi H.; Kao, Chihwa; Peng, Bin - In: Econometrics 4 (2016) 4, pp. 1-24

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 the errors. To control the size, this paper...

Persistent link: https://www.econbiz.de/10011755347

Structural changes in heterogeneous panels with endogenous regressors

Baltagi, Badi H.; Feng, Qu; Kao, Chihwa - In: Journal of Applied Econometrics 34 (2019) 6, pp. 883-892

Persistent link: https://www.econbiz.de/10012082853

Testing for sphericity in a fixed effects panel data model

Baltagi, Badi H.; Feng, Qu; Kao, Chihwa - In: The econometrics journal 14 (2011) 1, pp. 25-47

Persistent link: https://www.econbiz.de/10009007612

On the estimation and testing of fixed effects panel data models with weak instruments

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: 30th anniversary edition, (pp. 199-235). 2012

Persistent link: https://www.econbiz.de/10009711980

The estimation and testing of a linear regression with near unit root in the spatial autoregressive error term

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: Spatial economic analysis : the journal of the Regional … 8 (2013) 3, pp. 241-270

Persistent link: https://www.econbiz.de/10010202741

A Lagrange Multiplier test for cross-sectional dependence in a fixed effects panel data model

Baltagi, Badi H.; Feng, Qu; Kao, Chihwa - In: Journal of econometrics 170 (2012) 1, pp. 164-177

Persistent link: https://www.econbiz.de/10009673119

Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors : the case of stationary and non-stationary...

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: The econometrics journal 11 (2008) 3, pp. 554-572

Persistent link: https://www.econbiz.de/10003802390

Nonstationary panels, cointegration in panels and dynamic panels : a survey

Baltagi, Badi H.; Kao, Chihwa - In: Nonstationary panels, panel cointegration, and dynamic …, (pp. 7-51). 2000

Persistent link: https://www.econbiz.de/10001583110

Test of hypotheses in a time trend panel data model with serially correlated error component disturbances

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - In: Essays in honor of Peter C. B. Phillips, (pp. 347-394). 2014

Persistent link: https://www.econbiz.de/10010442857

Estimating and Testing High Dimensional Factor Models With Multiple Structural Changes

Baltagi, Badi H. - 2020

This paper considers multiple changes in the factor loadings of a high dimensional factor model occurring at dates that are unknown but common to all subjects. Since the factors are unobservable, the problem is converted to estimating and testing structural changes in the second moments of the...

Persistent link: https://www.econbiz.de/10012842360