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Full-Text Articles in Econometrics
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 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 …