Abstract In the study of panel regression, current existing cross-sectional dependence tests are mainly based on the normal assumption. However, in practical applications, the normal assumption is usually not valid, which weakens the usability of the tests. To develop more testing tools suitable for nonnormal panel data, we extend the rank-based framework of U-statistics to panel regressions, and derive their asymptotic null distributions respectively as ( N , T ) → ∞ . The results of some simulation results and a real data analysis demonstrate the superiority of the proposed tests, especially their robustness to deviation from normality.

中文翻译：

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面板数据模型中基于等级的横截面依赖性检验

摘要 在面板回归研究中，现有的横断面相关性检验主要基于正态假设。然而，在实际应用中，正态假设通常是无效的，这削弱了测试的可用性。为了开发更多适用于非正态面板数据的测试工具，我们将 U 统计的基于秩的框架扩展到面板回归，并将它们的渐近零分布分别导出为 ( N , T ) → ∞ 。一些模拟结果和真实数据分析的结果证明了所提出的测试的优越性，尤其是它们对偏离正态性的鲁棒性。