A lagrange multiplier test for cross-sectional dependence in a fixed effects panel data model

• Main Authors: Baltagi, Badi H., Feng, Qu., Kao, Chihwa.
• Other Authors: School of Humanities and Social Sciences
• Format: Article
• Language: English
• Published: 2013
• Subjects: DRNTU::Social sciences::Economic theory
• Online Access: https://hdl.handle.net/10356/107476; http://hdl.handle.net/10220/18061; http://dx.doi.org/10.1016/j.jeconom.2012.04.004
• Institution: Nanyang Technological University

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 fact,...