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Full-Text Articles in Social and Behavioral Sciences
Testing For Heteroskedasticity And Spatial Correlation In A Random Effects Panel Data Model, Badi H. Baltagi, Seuck Heun Song, Jae Hyeok Kwon
Testing For Heteroskedasticity And Spatial Correlation In A Random Effects Panel Data Model, Badi H. Baltagi, Seuck Heun Song, Jae Hyeok Kwon
Center for Policy Research
A panel data regression model with heteroskedastic as well as spatially correlated disturbance is considered, and a joint LM test for homoskedasticity and no spatial correlation is derived. In addition, a conditional LM test for no spatial correlation given heteroskedasticity, as well as a conditional LM test for homoskedasticity given spatial correlation, are also derived. These LM tests are compared with marginal LM tests that ignore heteroskedasticity in testing for spatial correlation, or spatial correlation in testing for homoskedasticity. Monte Carlo results show that these LM tests as well as their LR counterparts perform well even for small N and …
Testing For Random Effects And Spatial Lag Dependence In Panel Data Models, Badi H. Baltagi, Long Liu
Testing For Random Effects And Spatial Lag Dependence In Panel Data Models, Badi H. Baltagi, Long Liu
Center for Policy Research
This paper derives a joint Lagrande Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the absence of spatial lag dependence ignoring the random individual effects, and the second one tests for the absence of random individual effects ignoring the spatial lag dependence. This paper also derives two conditional LM tests. The first one tests for the absence of random individual effects without ignoring the possible …
Testing For Heteroskedasticity And Serial Correlation In A Random Effects Panel Data Model, Badi H. Baltagi, Byoung Cheol Jung, Seuck Heun Song
Testing For Heteroskedasticity And Serial Correlation In A Random Effects Panel Data Model, Badi H. Baltagi, Byoung Cheol Jung, Seuck Heun Song
Center for Policy Research
This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LM test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also derives a conditional LM test for homoskedasticity given serial correlation, as well as a conditional LM test for no first order serial correlation given heteroskedasticity, all in the context of a random effects panel data model. Monte Carlo results show that these tests, along with their likelihood ratio alternatives, have good size and power under various forms …
A Monte Carlo Study For Pure And Pretest Estimators Of A Panel Data Model With Spatially Auto Correlated Disturbances, Badi H. Baltagi, Peter Egger, Michael Pfaffermayr
A Monte Carlo Study For Pure And Pretest Estimators Of A Panel Data Model With Spatially Auto Correlated Disturbances, Badi H. Baltagi, Peter Egger, Michael Pfaffermayr
Center for Policy Research
This paper examines the consequences of model misspecification using a panel data model with spatially auto correlated disturbances. The performance of several maximum likelihood estimators assuming different specifications for this model are compared using Monte Carlo experiments. These include (i) MLE of a random effects model that ignore the spatial correlation; (ii) MLE described in Anselin (1988) which assumes that the individual effects are not spatially auto correlated; (iii) MLE described in Kapoor et al. (2006) which assumes that both the individual effects and the remainder error are governed by the same spatial autocorrelation; (iv) MLE described in Baltagi et …
Copula-Based Tests For Cross-Sectional Independence In Panel Models, Chihwa Kao, Giovanni Urga
Copula-Based Tests For Cross-Sectional Independence In Panel Models, Chihwa Kao, Giovanni Urga
Center for Policy Research
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Panel Unit Root Tests And Spatial Dependence, Badi H. Baltagi, Georges Bresson, Alain Pirotte
Panel Unit Root Tests And Spatial Dependence, Badi H. Baltagi, Georges Bresson, Alain Pirotte
Center for Policy Research
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 largest French communes observed over the period 1985-1998.