An extension of the Holly and Gardiol (2000) and Baltagi et al. (2009) papers to the two way context, with heteroskedastic and spatially correlated disturbances is considered. One then derives a joint LM test for homoskedasticity and no spatial correlation. In addition, two conditional LM tests...

We re-examine the causality between the twin deficits by testing for Granger non-causality between BD and CAD based on extended causality tests initially developed by Toda and Yamamoto (1995). Using international data from a sample of twenty developed and developing countries, we find evidence...

In this paper we extend Taub (1979) approach for prediction in the context of the variance components model. The extension obtained is based on the two-way random-effect model with heteroskedasticity. Prediction functions are then obtained in three heteroskedasticity cases (heteroskedasticity on...