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Joint tests for dynamic and spatial effects in short panels with fixed effects and heteroskedasticity

Yang, Zhenlin - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 51-92

Persistent link: https://www.econbiz.de/10012488887

A new matrix statistic for the hausman endogeneity test under heteroskedasticity

Papadopoulos, Alecos - In: Econometrics : open access journal 11 (2023) 4, pp. 1-11

We derive a new matrix statistic for the Hausman test for endogeneity in cross-sectional Instrumental Variables … estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study … examines the performance of the statistic for different heteroskedasticity-robust variance estimators and different skedastic …

Persistent link: https://www.econbiz.de/10014507912

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10011431982

A test for kronecker product structure covariance matrix

Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - 2022

Persistent link: https://www.econbiz.de/10012814351

Robust tests for white noise and cross-correlation

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020

tests to accommodate hidden dependence and non-stationarities involving heteroskedasticity, thereby uncoupling these tests … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series …

Persistent link: https://www.econbiz.de/10012243279

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