This paper proposes a new statistic to test independence of high-dimensional data. The simulation results suggest that the performance of the test based on our statistic is comparable to the existing ones, and under some circumstances it may have higher power. Therefore, the new statistic can be...

This paper theoretically explains why bias correction appears in two statistics recently developed by Baltagi et al. (2011, 2012), which are designed to test the sphericity and cross-sectional dependence of the errors in the fixed effects panel model respectively. Our explanation shows that the...