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Groupwise heteroscedasticity (HETCOEF)
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Serial correlation (RHOHAT)
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Cross-sectional dependence (CSCORR)
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Number of cross-sections (N)
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Number of time periods (T)
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|---|
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Experiments where N > T
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H0
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No groupwise heteroscedasticity
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No serial correlation
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No cross-sectional dependence
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–
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–
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Measure
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3.17
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0.72
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0.55
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31
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10
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P value
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0.014**
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0.007***
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0.284
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–
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–
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- The measures HETCOEF, RHOHAT and CSCORR are described in Reed and Ye [68]
- ***, **, *Significant at 1%, 5%, and 10% levels, respectively
