Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi - In: Econometrics Journal 11 (2008) 1, pp. 105-127
This paper proposes a bias-adjusted version of Breusch and Pagan (1980) Lagrange multiplier (LM) test statistic of error cross-section independence, in the case of panel models with strictly exogenous regressors and normal errors. The exact mean and variance of the test indicator of the LM test...
