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Full-Text Articles in Social and Behavioral Sciences
A Lagrange Multiplier Test For Cross-Sectional Dependence In A Fixed Effects Panel Data Model, Badi Baltagi, Qu Feng, Chihwa Kao
A Lagrange Multiplier Test For Cross-Sectional Dependence In A Fixed Effects Panel Data Model, Badi Baltagi, Qu Feng, Chihwa Kao
Center for Policy Research
It is well known that the standard Breusch and Pagan (1980) LM test for cross-equation correlation in a SUR model is not appropriate for testing cross-sectional dependence in panel data models when the number of cross-sectional units (n) is large and the number of time periods (T) is small. In fact, a scaled version of this LM test was proposed by Pesaran (2004) and its finite sample bias was corrected by Pesaran, Ullah and Yamagata (2008). This was done in the context of a heterogeneous panel data model. This paper derives the asymptotic bias of this scaled version of the …
The Hausman-Taylor Panel Data Model With Serial Correlation, Badi Baltagi, Long Liu
The Hausman-Taylor Panel Data Model With Serial Correlation, Badi Baltagi, Long Liu
Center for Policy Research
This paper modifies the Hausman and Taylor (1981) panel data estimator to allow for serial correlation in the remainder disturbances. It demonstrates the gains in efficiency of this estimator versus the standard panel data estimators that ignore serial correlation using Monte Carlo experiments.