Social and Behavioral Sciences Commons^™

A J-Test For Panel Models With Fixed Effects, Spatial And Time, Harry H. Kelejian, Gianfranco Piras

Regional Research Institute Working Papers

In this paper we suggest a J-test in a spatial panel framework of a null model against one or more alternatives. The null model we consider has fixed effects, along with spatial and time dependence. The alternatives can have either fixed or random effects. We implement our procedure to test the specifications of a demand for cigarette model. We find that the most appropriate specification is one that contains the average price of cigarettes in neighboring states, as well as the spatial lag of the dependent variable. Along with formal large sample results, we also give small sample Monte …