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Testing for Heteroskedasticity and Spatial Correlation in a Random Effects Panel Data Model

Baltagi, Badi H.; Song, Seuck Heun; Kwon, Jae Hyeok - Center for Policy Research, Maxwell School - 2008

correlation given heteroskedasticity, as well as a conditional LM test for homoskedasticity given spatial correlation, are also … deerived. These LM tests are compared with marginal LM tests that ignore heteroskedasticity in testing for spatial correlation … conditional LM tests when spatial correlation or heteroskedasticity is present. …

Persistent link: https://www.econbiz.de/10005220946

Random Effects, Fixed Effects and Hausman’s Test for the Generalized Mixed Regressive Spatial Autoregressive Panel

Baltagi, Badi H.; Liu, Long - Center for Policy Research, Maxwell School - 2014

This paper suggests random and fixed effects spatial two-stage least squares estimators for the generalized mixed regressive spatial autoregressive panel data model. This extends the generalized spatial panel model of Baltagi, Egger and Pfaffermayr (2013) by the inclusion of a spatial lag...

Persistent link: https://www.econbiz.de/10011269090

Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term

Baltagi, Badi H.; Kao, Chihwa; Liu, Long - Center for Policy Research, Maxwell School - 2015

This paper studies the estimation of change point in panel models. We extend Bai (2010) and Feng, Kao and Lazarová (2009) to the case of stationary or nonstationary regressors and error term, and whether the change point is present or not. We prove consistency and derive the asymptotic...

Persistent link: https://www.econbiz.de/10011269093

Inter-Industry Gender Wage Gaps by Knowledge Intensity: Discrimination and Technology in Korea

Horrace, William C.; Ural, Beyza P.; Jung, Jin Hwa - Center for Policy Research, Maxwell School - 2006

A new gender wage gap decomposition methodology is introduced that does not suffer from the identification problem caused by unobserved non-discriminatory wage structure. The methodology is used to measure the relative size of Korean gender wage gaps from 1994 to 2000 across industries,...

Persistent link: https://www.econbiz.de/10005504092

A Monte Carlo Study for Pure and Pretest Estimators of a Panel Data Model with Spatially Autocorrelated Disturbances

Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - Center for Policy Research, Maxwell School - 2007

This paper examines the consequences of model misspecification using a panel data model with spatially autocorrelated disturbances. The performance of several maximum likelihood estimators assuming different specifications for this model are compared using Monte Carlo experiments. These include...

Persistent link: https://www.econbiz.de/10005504094

Ranking Inequality: Applications of Multivariate Subset Selection

Horrace, William C.; Marchand, Joseph T.; Smeeding, … - Center for Policy Research, Maxwell School - 2005

Inequality measures are often presented in the form of a rank ordering to highlight their relative magnitudes. However, a rank ordering may produce misleading inference, because the inequality measures themselves are statistical estimators with different standard errors, and because a rank...

Persistent link: https://www.econbiz.de/10005698335

Testing for Instability in Factor Structure of Yield Curves

Philip, Dennis; Kao, Chihwa; Urga, Giovanni - Center for Policy Research, Maxwell School - 2007

A widely relied upon but a formally untested consideration is the issue of stability in actors underlying the term structure of interest rates. In testing for stability, practitioners as well as academics have employed ad yhoc techniques such as splitting the sample into a few sub-periods and...

Persistent link: https://www.econbiz.de/10005698340

Identifying Technically Efficient Fishing Vessels: A Non-Empty, Minimal Subset Approach

Flores-Lagunes, Alfonso; Horrace, William C.; Schnier, … - Center for Policy Research, Maxwell School - 2006

There is a growing resource economics literature, concerning the estimation of the technical efficiency of fishing vessels utilizing the stochastic frontier model. In these models, vessel output is regressed on a linear function of vessel inputs and a random composed error. Using parametric...

Persistent link: https://www.econbiz.de/10005698353

A Generalized Spatial Panel Data Model with Random Effects

Baltagi, Badi H.; Egger, Peter; Pfafermayr, Michael - Center for Policy Research, Maxwell School - 2009

This paper prooses a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin's (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...

Persistent link: https://www.econbiz.de/10005698358

Testing for Random Effects and Spatial Lag Dependence in Panel Data Models

Baltagi, Badi H.; Liu, Long - Center for Policy Research, Maxwell School - 2008

This paper derives a joint Lagrande Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the...

Persistent link: https://www.econbiz.de/10005698366