In the presence of heteroskedasticity, conventional test statistics based on the ordinary least square estimator lead to incorrect inference results for the linear regression model. Given that heteroskedasticity is common in cross-sectional data, the test statistics based on various forms of...

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models with heterogeneous spatial lag coefficients, with and without (weakly) exogenous regressors, and subject to heteroskedastic errors. A quasi maximum likelihood (QML) estimation...