Center for Policy Research
Working Paper
On Testing for Sphericity with Non-normality in a Fixed Effects Panel Data Model
Badi H. Baltagi, Chihwa Kao & Bin Peng
C.P.R. Working Paper No. 176
November 2014
Abstract
Building upon the work of Chen et al. (2010), this paper proposes a test for sphericity of the variance-covariance matrix in a fixed effects panel data regression model without the normality assumption on the disturbances.