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    • A Bias-Adjusted LM Test of Error Cross Section Independence 

      Pesaran, M. Hashem; Ullah, Aman; Yamagata, Takashi (Faculty of Economics, University of Cambridge, UK, 2006-05)
      This paper proposes bias-adjusted normal approximation versions of Lagrange multiplier (NLM) test of error cross section independence of Breusch and Pagan (1980) in the case of panel models with strictly exogenous regressors ...