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Heteroskedasticity And Non-Normality Robust Lm Tests Of Spatial Dependence, Badi H. Baltagi, Zhenlin Yang
Heteroskedasticity And Non-Normality Robust Lm Tests Of Spatial Dependence, Badi H. Baltagi, Zhenlin Yang
Research Collection School Of Economics
The standard LM tests for spatial dependence in linear and panel regressions are derived under the normality and homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity of the disturbances. Following Born and Breitung (2011), we introduce general methods to modify the standard LM tests so that they become robust against heteroskedasticity and non-normality. The idea behind the robustification is to decompose the concentrated score function into a sum of uncorrelated terms so that the outer product of gradient (OPG) can be used to estimate its variance. We also provide methods for improving …
Non-Normality And Heteroscedasticity Robust Lm Tests Of Spatial Dependence, Badi H. Baltagi, Zhenlin Yang
Non-Normality And Heteroscedasticity Robust Lm Tests Of Spatial Dependence, Badi H. Baltagi, Zhenlin Yang
Research Collection School Of Economics
The standard LM tests for spatial dependence in linear and panel regressions are derived under the normality and homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity of the disturbances. Following Born and Breitung (2011), we introduce general methods to modify the standard LM tests so that they become robust against heteroskedasticity and non-normality. The idea behind the robustification is to decompose the concentrated score function into a sum of uncorrelated terms so that the outer product of gradient (OPG) can be used to estimate its variance. We also provide methods for improving …