Skip to main content
. Author manuscript; available in PMC: 2016 Jan 15.
Published in final edited form as: Econometrica. 2015 Jul 1;83(4):1497–1541. doi: 10.3982/ECTA12749

Table III.

Size and power (%) of tests for cross-sectional independence

T n = 200
J1/PE/P(S^=)
n = 400
J1/PE/P(S^=)
n = 600
J1/PE/P(S^=)
n = 800
J1/PE/P(S^=)
H0
100 4.7/5.5 /99.1 4.9/5.3 /99.6 5.5/5.7 /99.7 4.9/5.2 /99.7
200 5.3/5.3 /100.0 5.5/5.9 /99.6 4.7/5.1 /99.4 4.9/5.1 /99.8
300 5.2/5.2 /100.0 5.2/5.2 /100.0 4.6/4.6 /100.0 4.9/4.9 /100.0
500 4.7/4.7 /100.0 5.5/5.5 /100.0 5.0/5.0 /100.0 5.1/5.1 /100.0

Ha
100 26.4/95.5 /5.0 19.8/98.0 /2.3 13.5/98.2 /2.0 12.2/99.2 /0.9
200 54.6/98.8 /1.6 40.3/99.6 /0.5 24.8/99.6 /0.4 21/99.7 /0.3
300 78.9/99.2 /1.1 65.3/100.0 /0.1 41.7/99.9 /0.2 37.2/100.0 /0.1
500 93.5/99.8 /0.2 89.0/100.0 /0.0 69.1/100.0 /0.0 61.8/100.0 /0.0

Note: This table reports the frequencies of rejection by J1 in (5.2) and PE = J0 + J1 in (5.4) under the null and alternative hypotheses, based on 2000 replications. The frequency of S^ being empty is also recorded. These tests are conducted at 5% significance level.