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math.ST2026
A High-Dimensional LM Test for Cross-Sectional Independence with Serially Correlated Data
Ulrich Hounyo, Chihwa Kao, Min Seong Kim
We develop a high-dimensional Lagrange multiplier (LM) test for cross-sectional independence in Gaussian panels with a common stationary, short-memory temporal covariance matrix. T…
math.ST2008★ 1 cited
Panel Cointegration with Global Stochastic Trends
Jushan Bai, Chihwa Kao, Serena Ng
This paper studies estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. The standard least squares estimator i…