{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,17]],"date-time":"2026-04-17T10:22:34Z","timestamp":1776421354606,"version":"3.51.2"},"reference-count":17,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2012,4,27]],"date-time":"2012-04-27T00:00:00Z","timestamp":1335484800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2012,10]]},"abstract":"<jats:p>In this paper, we propose a new diagnostic test for residual cross-section uncorrelatedness (CU) in a nonparametric panel data model. The proposed nonparametric CU test is a nonparametric counterpart of an existing parametric cross-section dependence test proposed in Pesaran (2004, Cambridge Working paper in Economics 0435). Without assuming cross-section independence, we establish asymptotic distribution for the proposed test statistic for the case where both the cross-section dimension and the time dimension go to infinity simultaneously, and then analyze the power function of the proposed test under a sequence of local alternatives that involve a nonlinear multifactor model. The simulation results and real data analysis show that the nonparametric CU test associated with an asymptotic critical value works well.<\/jats:p>","DOI":"10.1017\/s0266466612000072","type":"journal-article","created":{"date-parts":[[2012,4,27]],"date-time":"2012-04-27T10:08:53Z","timestamp":1335521333000},"page":"1144-1163","source":"Crossref","is-referenced-by-count":37,"title":["A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS"],"prefix":"10.1017","volume":"28","author":[{"given":"Jia","family":"Chen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jiti","family":"Gao","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Degui","family":"Li","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2012,4,27]]},"reference":[{"key":"S0266466612000072_ref17","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.0002"},{"key":"S0266466612000072_ref16","doi-asserted-by":"crossref","first-page":"2098","DOI":"10.1214\/aop\/1041903220","article-title":"Weak convergence for weighted empirical processes of dependent sequences","volume":"24","author":"Shao","year":"1996","journal-title":"Annals of Probability"},{"key":"S0266466612000072_ref15","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.10.006"},{"key":"S0266466612000072_ref14","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00070"},{"key":"S0266466612000072_ref11","doi-asserted-by":"publisher","DOI":"10.1198\/073500105000000171"},{"key":"S0266466612000072_ref10","volume-title":"Nonparametric Econometrics: Theory and Practice","author":"Li","year":"2007"},{"key":"S0266466612000072_ref7","doi-asserted-by":"publisher","DOI":"10.1201\/9781420011210"},{"key":"S0266466612000072_ref5","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-69395-8"},{"key":"S0266466612000072_ref4","volume-title":"Local Polynomial Modelling and Its Applications","author":"Fan","year":"1996"},{"key":"S0266466612000072_ref13","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2007.00227.x"},{"key":"S0266466612000072_ref1","doi-asserted-by":"publisher","DOI":"10.2307\/2297111"},{"key":"S0266466612000072_ref6","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01658-M"},{"key":"S0266466612000072_ref12","doi-asserted-by":"crossref","unstructured":"Pesaran M.H. (2004) General Diagnostic Tests for Cross Section Dependence in Panels. Cambridge Working paper in Economics 0435.","DOI":"10.2139\/ssrn.572504"},{"key":"S0266466612000072_ref9","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2008.01.017"},{"key":"S0266466612000072_ref8","doi-asserted-by":"crossref","unstructured":"Hsiao C. , Pesaran M.H. , & Pick A. (2007) Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models. IZA Discussion paper 2756.","DOI":"10.2139\/ssrn.982629"},{"key":"S0266466612000072_ref2","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080523"},{"key":"S0266466612000072_ref3","unstructured":"Chen J. , Gao J. , & Li D. (2009) Testing for Cross-Section Uncorrelatedness in Nonparametric Panel Data Models: Theory and Practice. Working paper, University of Adelaide. Available at http:\/\/www.adelaide.edu.au\/directory\/jiti.gao."}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466612000072","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,1,14]],"date-time":"2022-01-14T10:18:04Z","timestamp":1642155484000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466612000072\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,4,27]]},"references-count":17,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2012,10]]}},"alternative-id":["S0266466612000072"],"URL":"https:\/\/doi.org\/10.1017\/s0266466612000072","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,4,27]]}}}