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Testing for heteroskedasticity and serial correlation in a random effects panel data model

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - In: Journal of Econometrics 154 (2010) 2, pp. 122-124

This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LMÂ test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also...

Persistent link: https://www.econbiz.de/10008493170

Testing for Serial Correlation, Spatial Autocorrelation and Random Effects

Koh, Won; Jung, Byoung Cheol; Baltagi, Badi H.; Song, … - Econometric Society - 2004

This paper considers a spatial panel data regression model with serial correlation on each spatial unit over time as well as spatial dependence between the spatial units at each point in time. In addition, the model allows for heterogeneity across the spatial units using random effects. The...

Persistent link: https://www.econbiz.de/10005130168

Testing for Serial Correlation, Spatial Autocorrelation and Random Effects

Koh, Won; Baltagi, Badi H.; Song, Seuck Heun - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005342323

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

A panel data regression model with heteroskedastic as well as spatially correlated disturbance is considered, and a joint LM test for homoskedasticity and no spatial correlation is derived. In addition, a conditional LM test for no spatial correlation given heteroskedasticity, as well as a...

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

Testing panel data regression models with spatial error correlation

Baltagi, Badi H.; Song, Seuck Heun; Koh, Won - In: Journal of Econometrics 117 (2003) 1, pp. 123-150

Persistent link: https://www.econbiz.de/10005192287

Testing Panel Data Regression Models with Spatial Error Correlation

Baltagi, Badi H.; Song, Seuck Heun; Koh, Won - International Conferences on Panel Data - 2002

This paper derives several Lagrange Multiplier tests for the panel data regression model with spatial error correlation. These tests draw upon two strands of earlier work. The first is the LM tests for the spatial error correlation model discussed in Anselin (1988, 1999) and Anselin, Bera,...

Persistent link: https://www.econbiz.de/10005086453

Testing for heteroskedasticity and spatial correlation in a random effects panel data model

Baltagi, Badi H.; Song, Seuck Heun; Kwon, Jae Hyeok - In: Computational Statistics & Data Analysis 53 (2009) 8, pp. 2897-2922

A panel data regression model with heteroskedastic as well as spatially correlated disturbances is considered, and a joint LM test for homoskedasticity and no spatial correlation is derived. In addition, a conditional LM test for no spatial correlation given heteroskedasticity, as well as a...

Persistent link: https://www.econbiz.de/10005118064

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

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - Center for Policy Research, Maxwell School - 2008

This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LM test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also...

Persistent link: https://www.econbiz.de/10005698343

LM tests for the unbalanced nested panel data regression model with serially correlated errors

Baltagi, Badi H.; Song, Seuck-heun; Jung, Byoung Cheol - In: Annales d'économie et de statistique (2002), pp. 219-268

Persistent link: https://www.econbiz.de/10001673363

Simple LM tests for the unbalanced nested error component regression model

Baltagi, Badi H.; Song, Seuck-heun; Jung, Byoung Cheol - In: Econometric reviews 21 (2002) 2, pp. 167-187

Persistent link: https://www.econbiz.de/10001704762