Pesaran, M.H.; Ullah, A.; Yamagata. T. - Faculty of Economics, University of Cambridge - 2006
This paper proposes bias-adjusted normal approximation versions of Lagrange multiplier (NLM) test of error cross section independence of Breusch and Pagan (1980) in the case of panel models with strictly exogenous regressors and normal errors. The exact mean and variance of the Lagrange...
