Please use this identifier to cite or link to this item:
Hsiao, Cheng
Pesaran, Mohammad Hashem
Pick, Andreas
Year of Publication: 
Series/Report no.: 
CESifo working paper 1984
In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the observed dependent variable from its expected value and generalized residuals. We show the asymptotic consistency of the cross section dependence (CD) test of Pesaran (2004). In Monte Carlo experiments it emerges that the CD test has the correct size for any combination of N and T whereas the LM test relies on T large relative to N. We then analyze the roll-call votes of the 104th U.S. Congress and find considerable dependence between the votes of the members of Congress.
Document Type: 
Working Paper

Files in This Item:
220.89 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.