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Testing Endogeneity of Spatial Weights Matrices in Spatial Dynamic Panel Data Models

Lee, Jieun - 2022

dynamic panel data (SDPD) model (Qu, Lee, and Yu, 2017). I firstly introduce the bias-corrected score function since the score …

Persistent link: https://www.econbiz.de/10013491649

Projection Estimators for Autoregressive Panel Data Models

Bond, Stephen R.; Windmeijer, Frank - 2003

In this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the …

Persistent link: https://www.econbiz.de/10014123931

Reliable Inference for GMM Estimators? Finite Sample Properties of Alternative Test Procedures in Linear Panel Data Models

Bond, Stephen R.; Windmeijer, Frank - 2005

We compare the finite sample performance of a range of tests of linear restrictions for linear panel data models … have recently been proposed. We consider both the AR(1) panel model, and a design with predetermined regressors. The …

Persistent link: https://www.econbiz.de/10014064498

Testing for a Structural Break in Dynamic Panel Data Models with Common Factors

Zhu, Huanjun - 2015

This paper develops a method for testing for the presence of a single structural break in panel data models with …

Persistent link: https://www.econbiz.de/10013014830

Robust LM Tests for Spatial Dynamic Panel Data Models

Bera, Anil K. - 2018

panel data (SDPD) model that includes a contemporaneous spatial lag, a time lag and a spatial-time lag. The maximum …

Persistent link: https://www.econbiz.de/10012931986

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 …

Persistent link: https://www.econbiz.de/10011411712

A GMM-based test for normal disturbances of the Heckman sample selection model

Pfaffermayr, Michael - In: Econometrics : open access journal 2 (2014) 4, pp. 151-168

The Heckman sample selection model relies on the assumption of normal and homoskedastic disturbances. However, before considering more general, alternative semiparametric models that do not need the normality assumption, it seems useful to test this assumption. Following Meijer and Wansbeek...

Persistent link: https://www.econbiz.de/10010417177