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On Testing For Sphericity With Non-Normality In A Fixed Effects Panel Data Model, Badi H. Baltagi, Chihwa Kao, Bin Peng Dec 2014

On Testing For Sphericity With Non-Normality In A Fixed Effects Panel Data Model, Badi H. Baltagi, Chihwa Kao, Bin Peng

Center for Policy Research

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.