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Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...
Persistent link: https://www.econbiz.de/10012305035
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Testing in a random effects panel data model with spatially correlated error components and spatially lagged dependent variables
He, Ming; Lin, Kuan-pin - In: Econometrics : open access journal 3 (2015) 4, pp. 761-796
We propose a random effects panel data model with both spatially correlated error components and spatially lagged dependent variables. We focus on diagnostic testing procedures and derive Lagrange multiplier (LM) test statistics for a variety of hypotheses within this model. We first construct...
Persistent link: https://www.econbiz.de/10011411712
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Testing of parameter's instability in a balanced panel : an application to real effective exchange rate for SAARC countries
Agiwal, Varun; Kumar, Jitendra; Sharma, Sumit Kumar - 2017
Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and autoregressive coefficient. This model is extension of univariate model proposed by Meligkotsiduo et al. (2004) and review of existing panel data time series model considering break...
Persistent link: https://www.econbiz.de/10011785064
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IV-based cointegration testing in dependent panels with time-varying variance
Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011
heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit … both global heteroskedasticity and cross-unit dependence, we start by adapting the nonlinear instruments method proposed … of the test statistic as long as the t-type statistics are computed with White heteroskedasticity-consistent standard …
Persistent link: https://www.econbiz.de/10009672473
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The performance of panel cointegration methods : results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...
Persistent link: https://www.econbiz.de/10009736650
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Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models
Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - 2015
-sectional heteroskedasticity. By simulation the effects are examined of using particular instrument strength enhancing reductions and … found to have great potential when the cross-sectional heteroskedasticity is pronounced and the time-series dimension of the …
Persistent link: https://www.econbiz.de/10010476668
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Are OECD Macroeconomic Variables Trend Stationary? Evidence from Panel Stationary Tests Allowing for a Structural Break and Cross-Sectional Dependence
Hadri, Kaddour; Rao, Yao - 2010
This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 macroeconomic variables of OECD countries can be best represented as random walk or stationary fluctuations around a deterministic trend. In contrast to previous studies, based...
Persistent link: https://www.econbiz.de/10014201245
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A Consistent LM Type Specification Test for Semiparametric Panel Data Models
Korolev, Ivan - 2019
This paper develops a consistent series-based specification test for semiparametric panel data models with fixed effects. The test statistic resembles the Lagrange Multiplier (LM) test statistic in parametric models and is based on a quadratic form in the restricted model residuals. The use of...
Persistent link: https://www.econbiz.de/10012862375
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A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects
Ando, Tomohiro - 2014
We consider the problem of testing for slope homogeneity in high-dimensional panel data models with cross-sectionally correlated errors. We consider a Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically...
Persistent link: https://www.econbiz.de/10013039865
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Revisiting Energy Consumption and GDP Causality : Importance of a Priori Hypothesis Testing, Disaggregated Data, and Heterogeneous Panels
Liddle, Brant - 2015
This paper disaggregates energy consumption and GDP data according to end-use to analyze a broad number of developed and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a relatively under-utilized approach recommend by Canning and...
Persistent link: https://www.econbiz.de/10013030525