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Standardized LM Tests for Spatial Error Dependence in Linear or Panel Regressions
Baltagi, Badi H.; Yang, Zhenlin - School of Economics, Singapore Management University - 2010
The robustness of the LM tests for spatial error dependence of Burridge (1980) for the linear regression model and Anselin (1988) for the panel regression model are examined. While both tests are asymptotically robust against distributional misspecification, their finite sample behavior can be...
Persistent link: https://www.econbiz.de/10008725928
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Heteroskedasticity and non-normality robust LM tests for spatial dependence
Baltagi, Badi H.; Yang, Zhenlin - In: Regional Science and Urban Economics 43 (2013) 5, pp. 725-739
The standard LM tests for spatial dependence in linear and panel regressions are derived under the normality and homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity of the disturbances. Following Born and Breitung...
Persistent link: https://www.econbiz.de/10010703151
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Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses
Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1987
Using recently developed Monte Carlo methodology, this paper investigates the effect of dynamics and simultaneity on the finite sample properties of maximum likelihood and instrumental variables statistics for testing both nested and non-nested hypotheses. Numerical-analytical approximations...
Persistent link: https://www.econbiz.de/10005368195
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Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics
Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1986
"Monte Carlo experimentation in econometrics helps 'solve' deterministic problems by simulating stochastic analogues in …
Persistent link: https://www.econbiz.de/10005368405
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The power of cointegration tests
Kremers, Jeroen J.M.; Ericsson, Neil R.; Dolado, Juan J. - Federal Reserve Board (Board of Governors of the … - 1992
A cointegration test statistic based upon estimation of an error cor­rection model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a non-standard asymptotic...
Persistent link: https://www.econbiz.de/10005368459
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General-to-specific modeling: an overview and selected bibliography
Campos, Julia; Ericsson, Neil R.; Hendry, David F. - Federal Reserve Board (Board of Governors of the … - 2005
of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …
Persistent link: https://www.econbiz.de/10005368530
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Cointegration tests in the presence of structural breaks
Campos, Julia; Ericsson, Neil R.; Hendry, David F. - Federal Reserve Board (Board of Governors of the … - 1993
Structural breaks in stationary time series can induce apparent unit roots in those series. Thus, using recently developed recursive Monte Carlo techniques, this paper investigates the properties of several cointegration tests when the marginal process of one of the variables in the...
Persistent link: https://www.econbiz.de/10005712836