Introduces the EBR test, which applies the Tracy-Widom law to the largest eigenvalue of symmetrized residuals to detect autocorrelation, linear and non-linear cross-sectional dependence in panel data models.
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Eigenvalue-Based Randomness Test for Residual Diagnostics in Panel Data Models
Introduces the EBR test, which applies the Tracy-Widom law to the largest eigenvalue of symmetrized residuals to detect autocorrelation, linear and non-linear cross-sectional dependence in panel data models.