An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects

Kapetanios, G., Serlenga, Laura and Shin, Yongcheol (2023) An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects. Journal of Business and Economic Statistics. ISSN 0735-0015

Abstract

Metadata

Item Type: Article
Authors/Creators:
  • Kapetanios, G.
  • Serlenga, Laura
  • Shin, Yongcheol (yongcheol.shin@york.ac.uk)
Copyright, Publisher and Additional Information:

© 2023 The Authors

Keywords: Panel Data Model with Interactive Effects, Conditional Independence between the Regressors and Factor Loadings, the LM test.
Dates:
  • Published (online): 4 August 2023
  • Accepted: 7 July 2023
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 13 Jul 2023 10:10
Last Modified: 27 Dec 2024 00:24
Published Version: https://doi.org/10.1080/07350015.2023.2238774
Status: Published online
Refereed: Yes
Identification Number: 10.1080/07350015.2023.2238774
Open Archives Initiative ID (OAI ID):

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Description: An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects

Licence: CC-BY-NC-ND 2.5

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