An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
交互效应面板中解释变量与因子载荷条件独立性的 LM 检验
A huge literature on modeling cross-sectional dependence in panels has been developed using interactive effects (IE).One area of contention is the hypothesis concerned with whether the regressors and factor loadings are correlated or not.Under the null hypothesis that they are conditionally independent, we can still apply the consistent and robust two-way fixed effects estimator.As an important specification test we develop an LM test for both static and dynamic panels with…