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Testing for Heteroskedasticity and Spatial Correlation in a Random Effects Panel Data Model
Baltagi, Badi H.; Song, Seuck Heun; Kwon, Jae Hyeok - Center for Policy Research, Maxwell School - 2008
correlation given heteroskedasticity, as well as a conditional LM test for homoskedasticity given spatial correlation, are also … deerived. These LM tests are compared with marginal LM tests that ignore heteroskedasticity in testing for spatial correlation … conditional LM tests when spatial correlation or heteroskedasticity is present. …
Persistent link: https://www.econbiz.de/10005220946
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LM tests of spatial dependence based on bootstrap critical values
Yang, Zhenlin - In: Journal of econometrics 185 (2015) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10011339908
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LM Tests of Spatial Dependence Based on Bootstrap Critical Values
Yang, Zhenlin - School of Economics, Singapore Management University - 2013
demonstrated using more general spatial LM tests, in connection with local misspecification and unknown heteroskedasticity. …
Persistent link: https://www.econbiz.de/10010690406
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LM tests of spatial dependence based on bootstrap critical values
Yang, Zhenlin - In: Journal of Econometrics 185 (2015) 1, pp. 33-59
demonstrated using more general spatial LM tests, in connection with local misspecification and unknown heteroskedasticity. …
Persistent link: https://www.econbiz.de/10011190729
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Robust LM tests for spatial dynamic panel data models
Bera, Anil K.; Doğan, Osman; Taṣpınar, Süleyman; … - In: Regional science & urban economics 76 (2019), pp. 47-66
Persistent link: https://www.econbiz.de/10012267310
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SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL
Baltagi, Badi; Song, Seuck Heun; Jung, Byoung Cheol - In: Econometric Reviews 21 (2002) 2, pp. 167-187
This paper derives several Lagrange Multiplier tests for the unbalanced nested error component model. Economic data with a natural nested grouping include firms grouped by industry; or students grouped by schools. The LM tests derived include the joint test for both effects as well as the test...
Persistent link: https://www.econbiz.de/10005476168
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Spatial multivariate regressions with panel data
Mendonça, Mário Jorge Cardoso de; Medrano, Luis … - 2016
We develop a new Bayesian estimator that is able to deal with multivariate panel data structure in the presence of spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the random effect model. This work extends the previous study...
Persistent link: https://www.econbiz.de/10012059270
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Estimation of panel model with heteroskedasticity in both idiosyncratic and individual specific errors
Zhang, Ruohao; Kumbhakar, Subal; Lai, Hung-pin - In: Econometric reviews 40 (2021) 4, pp. 415-432
Persistent link: https://www.econbiz.de/10012515607
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Heteroskedasticity in one-way error component probit models
Moussa, Richard Kouamé - In: Econometrics : open access journal 7 (2019) 3/35, pp. 1-22
This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a … likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic … heteroskedasticity. Furthermore, the power of the test increases with larger individual and time dimensions. The robustness analysis …
Persistent link: https://www.econbiz.de/10012160867
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Spatial multivariate regressions with panel data
Cardoso de Mendonça, Mário Jorge; Medrano, Luis … - 2016
We develop a new Bayesian estimator that is able to deal with multivariate panel data structure in the presence of spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the random effect model. This work extends the previous study...
Persistent link: https://www.econbiz.de/10012234226