High dimensional cross-sectional dependence test under arbitrary serial correlation

详细信息    查看全文

• 作者：Wei Lan ; Rui Pan ; RongHua Luo ; YongWei Cheng
• 关键词：CD test ; cross ; sectional dependence ; panel data ; serial correlation
• 刊名：Science China Mathematics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：60
• 期：2
• 页码：345-360
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Applications of Mathematics;
• 出版者：Science China Press
• ISSN：1869-1862
• 卷排序：60

文摘

In panel data analysis, the cross-sectional dependence (CD) test has been extensively used to test the cross-sectional dependence. However, this traditional CD test does not take serial correlation into consideration, which commonly occurs in many fields. To solve this problem, we propose an adjusted CD test which is able to effectively handle serial correlation. More specifically, the serial correlation can be of arbitrary form in our work. Furthermore, we establish the theoretical properties of the proposed adjusted CD test. Our extensive Monte Carlo experiments show that the traditional CD test cannot work well under serial correlation, while the proposed adjusted CD test does provide rather satisfactory performance.