This paper proposes a test for sphericity in a fixed effects panel data model. It uses the Random Matrix Theory based approach of Ledoit and Wolf (2002) to test for sphericity of the error terms in a fixed effects panel model with a large number of cross-sectional units and time series...

This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in...

This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in...

We propose two new simple residual-based panel data tests for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific...

This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross-sectional dependence that is generated by a single common factor. Using sequential limit arguments, we show that the tests have a limiting normal distribution that is free of nuisance parameters...

The purpose of this study is to investigate the causal relationship between corruption and income inequality experienced in ten Asian economies over the period 1995 to 2010. This study utilizes the bootstrap panel Granger causality approach, which allows both cross-sectional dependence and...

In this paper, we test the Prebish–Singer (PS) hypothesis, which states that real commodity prices decline in the long run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural break. We find that the hypothesis cannot be rejected...

It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is small. In...

This paper re-examines Lilien’s sectoral shifts hypothesis for U.S. unemployment. We employ a monthly panel that spans from 1990:01 to 2011:12 for 48 U.S. states. Panel unit root tests that allow for crosssectional dependence reveal the stationarity of unemployment. Within a framework that...

This paper provides an overview of the existing literature on panel data models with error cross-sectional dependence. We distinguish between spatial dependence and factor structure dependence and we analyse the implications of weak and strong cross-sectional dependence on the properties of the...