Testing for Cross-sectional Dependence in Regional Panel Data

被引：9

作者：

Jensen, Peter Sandholt ^{[1
]}

Schmidt, Torben Dall ^{[2
]}

机构：

[1] Univ So Denmark, Dept Econ & Business, Odense, Denmark

[2] Univ So Denmark, Dept Border Reg Studies, Sonderborg, Denmark

来源：

SPATIAL ECONOMIC ANALYSIS | 2011年 / 6卷 / 04期

关键词：

cross-sectional and spatial dependence; hypothesis testing; common regional shocks; cross-sectional heterogeneity; INDEPENDENCE; CONVERGENCE; GROWTH;

D O I：

10.1080/17421772.2011.610813

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine three tests of cross-sectional dependence and apply them to a Danish regional panel dataset with few time periods and a large cross-section: the CD test due to Pesaran (2004), the Schott test and the Liu-Lin-Shao test. We show that the CD test and the Schott test have good properties in a Monte Carlo study. When controlling for panel-specific and time-specific-fixed effects, the Schott test is superior. Our application shows that there is cross-sectional dependence in regional employment growth across Danish regions. We also show that this dependence can be accounted for by time-specific fixed effects. Thus, the tests uncover new properties of the regional data.

引用

页码：423 / 450

页数：28

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