具体的细节还需要看看如下几篇文献:
Frees, E. W. 1995. Assessing cross-sectional correlations in panel data. Journal of
Econometrics 69: 393-414.
------. 2004. Longitudinal and Panel Data: Analysis and Applications in the Social
Sciences. Cambridge: Cambridge University Press.
Friedman, M. 1937. The use of ranks to avoid the assumption of normality implicit
in the analysis of variance. Journal of the American Statistical Association
32: 675-701.
Pesaran, M. H. 2004. General diagnostic tests for cross section dependence in
panels. University of Cambridge, Faculty of Economics, Cambridge Working Papers
in Economics No. 0435.
Sarafidis, V., and R. E. De Hoyos. 2006. On testing for cross sectional dependence
in panel data models. Mimeo, University of Cambridge.
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