Diagnostic Tests of Cross-section Independence for Limited Dependent Variable Panel Data Models†

  1. Cheng Hsiao1,
  2. M. Hashem Pesaran2,
  3. Andreas Pick3

Article first published online: 5 JUL 2011

DOI: 10.1111/j.1468-0084.2011.00646.x

Issue

Oxford Bulletin of Economics and Statistics

Oxford Bulletin of Economics and Statistics

Volume 74, Issue 2, pages 253–277, April 2012

Additional Information

How to Cite

Hsiao, C., Pesaran, M. H. and Pick, A. (2012), Diagnostic Tests of Cross-section Independence for Limited Dependent Variable Panel Data Models. Oxford Bulletin of Economics and Statistics, 74: 253–277. doi: 10.1111/j.1468-0084.2011.00646.x

Author Information

  1. 1

    Department of Economics, University of Southern California, Los Angeles, USA; Hong Kong University of Science and Technology, Hong Kong; WISE, Xiamen University, Xiamen, China (e-mail: chsiao@usc.edu)

  2. 2

    Faculty of Economics, University of Cambridge, Cambridge, UK; CIMF, University of Cambridge, Cambridge, UK; Department of Economics, University of Southern California, Los Angeles, USA (e-mail: mhp1@cam.ac.uk)

  3. 3

    Department of Econometrics, Erasmus University Rotterdam, Rotterdam, The Netherlands; De Nederlandsche Bank, Amsterdam, The Netherlands; CIMF, University of Cambridge, Cambridge, UK (e-mail: andreas.pick@cantab.net)

  1. †

    The authors thank Qi Li, the editor (Anindya Banerjee), and two anonymous referees for helpful comments. Most of the research for this article was done while the third author was at the University of Cambridge. He acknowledges financial support from Sinopia, quantitative specialist of HSBC Global Asset Management. The opinions expressed in this article do not necessarily represent those of DNB.

Publication History

  1. Issue published online: 9 FEB 2012
  2. Article first published online: 5 JUL 2011
  3. Final Manuscript Received: January 2011

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