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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.ST2026
Bootstrap Inference under General Two-way Clustering with Serially and Spatially Dependent Common Effects
Ulrich Hounyo, Jiahao Lin
This paper develops bootstrap procedures for inference in linear regression models with two-way clustered data. We characterize the estimator's asymptotic behavior in five mutually…