Hsiao, Cheng; Pesaran, M. Hashem; Pick, Andreas - Institute for the Study of Labor (IZA) - 2007
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...