Robust sphericity test in the panel data model. (English) Zbl 1478.62141
Summary: 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.
References:
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