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.