Testing for Random Effects and Spatial Lag Dependence in Panel Data Models
AbstractThis paper derives a joint Lagrande Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the absence of spatial lag dependence ignoring the random individual effects, and the second one tests for the absence of random individual effects ignoring the spatial lag dependence. This paper also derives two conditional LM tests. The first one tests for the absence of random individual effects without ignoring the possible presence of spatial lag dependence. The second one tests for the absence of spatial lag dependence without ignoring the possible presence of random individual effects.
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Bibliographic InfoPaper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 102.
Length: 117 pages
Date of creation: Mar 2008
Date of revision:
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Panel data; spatial lag dependence; Lagrange Multiplier tests; random effects;
Other versions of this item:
- Baltagi, Badi H. & Liu, Long, 2008. "Testing for random effects and spatial lag dependence in panel data models," Statistics & Probability Letters, Elsevier, vol. 78(18), pages 3304-3306, December.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-04-15 (All new papers)
- NEP-ECM-2008-04-15 (Econometrics)
- NEP-GEO-2008-04-15 (Economic Geography)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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