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Fixed effects and random effects estimation of higher-order spatial autoregressive models with spatial autoregressive and heteroskedastic disturbances

Badinger, Harald; Egger, Peter - 2014

Persistent link: https://www.econbiz.de/10010360806

Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

Badinger, Harald; Egger, Peter - Vienna University of Economics and Business, Department … - 2014

panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error … heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random …

Persistent link: https://www.econbiz.de/10010765087

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

homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity … that they become robust against heteroskedasticity and non-normality. The idea behind the robustification is to decompose …

Persistent link: https://www.econbiz.de/10010703151

LM tests of spatial dependence based on bootstrap critical values

Yang, Zhenlin - In: Journal of Econometrics 185 (2015) 1, pp. 33-59

critical values than those based on asymptotics, and lead to significantly improved size and power. The methods are further … demonstrated using more general spatial LM tests, in connection with local misspecification and unknown heteroskedasticity. …

Persistent link: https://www.econbiz.de/10011190729

Testing overidentifying restrictions with many instruments and heteroskedasticity

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Journal of Econometrics 178 (2014) P1, pp. 15-21

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It … tests by allowing for heteroskedasticity and by avoiding assumptions on the instrument projection matrix. This paper finds …

Persistent link: https://www.econbiz.de/10010730129

Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances

Yokoi, Takahisa - 2010

Likelihood functions of spatial autoregressive models with normal but heteroskedastic disturbances have been already derived [Anselin (1988, ch.6)]. But there is no implementation for maximum likelihood estimation of these likelihood functions in general (heteroskedastic disturbances) cases....

Persistent link: https://www.econbiz.de/10011332432

Sample selection models without exclusion restrictions: Parameter heterogeneity and partial identification

Honoré, Bo E.; Hu, Luojia - 2022

implications of this model. We also consider models that allow for heteroskedasticity and briefly discuss other extensions. The key …

Persistent link: https://www.econbiz.de/10013479459

Efficiency gains in least squares estimation : a new approach

Papadopoulos, Alecos; Tsionas, Efthymios G. - In: Econometric reviews 41 (2022) 1, pp. 51-74

Persistent link: https://www.econbiz.de/10013167581

The Log of Gravity

Silva, Joao Santos; Tenreyro, Silvana - Centre for Economic Performance, LSE - 2005

least squares as elasticities can be highly misleading in the presence of heteroskedasticity. This paper explains why this …

Persistent link: https://www.econbiz.de/10005151044

A research agenda on general-to-specific spatial model search

Burridge, Peter - In: INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH (2011) 21, pp. 71-90

The paper sets up a nesting spatial regression model incorporating heteroskedastic shocks, and discusses hypothesis testing in both nested and nonnested cases in a quasi-likelihood framework, suggesting directions for future research effort.

Persistent link: https://www.econbiz.de/10010841068

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