Robust sphericity test in the panel data model

被引：0
|
作者：
Zhang, Xiaoxu [1 ]
Zhao, Ping [2 ]
Feng, Long [2 ]
机构：
[1] Northeast Normal Univ, Sch Math & Stat KLAS, Changchun 130024, Jilin, Peoples R China
[2] Nankai Univ, Sch Stat & Data Sci, LPMC & KLMDASR, Tianjin, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2022年 / 182卷
基金：
中国国家自然科学基金;
关键词：
Cross-sectional dependence; High dimension; Multivariate-sign; Panel data; Sphericity; COVARIANCE-MATRIX;
D O I：
10.1016/j.spl.2021.109304
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper proposes a test for the null of sphericity in the panel data model. We proposed a novel multivariate sign test for sphericity based on sample splitting and leave out method in the panel data model. The limiting distribution of the proposed test statistic is derived under the null and alternative hypothesis. Simulation studies also demonstrate the advantage of our method. (c) 2021 Elsevier B.V. All rights reserved.
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页数：8
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