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Articles 61 - 62 of 62
Full-Text Articles in Social and Behavioral Sciences
A Robust Lm Test For Spatial Error Components, Zhenlin Yang
A Robust Lm Test For Spatial Error Components, Zhenlin Yang
Research Collection School Of Economics
This paper presents a modified LM test of spatial error components, which is shown to be robust against distributional misspecifications and spatial layouts. The proposed test differs from the LM test of Anselin (2001) by a term in the denominators of the test statistics. This term disappears when either the errors are normal, or the variance of the diagonal elements of the product of spatial weights matrix and its transpose is zero or approaches to zero as sample size goes large. When neither is true, as is often the case in practice, the effect of this term can be significant …
Asymptotics And Bootstrap For Transformed Panel Data Regressions, Liangjun Su, Zhenlin Yang
Asymptotics And Bootstrap For Transformed Panel Data Regressions, Liangjun Su, Zhenlin Yang
Research Collection School Of Economics
This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for transformed random effects models where both the response and (some of) the covariates are subject to transformations for inducing normality, flexible functional form, homoscedasticity, and simple model structure. We develop a quasi maximum likelihood-type procedure for model estimation and inference. We prove the consistency and asymptotic normality of the parameter estimates, and propose a simple bootstrap procedure that leads to a robust estimate of the variance-covariance matrix. Monte Carlo results reveal that these estimates perform well in finite samples, and that the gains by using bootstrap procedure for inference …