This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Testing for Heteroskedasticity and Spatial Correlation in a Random Effects Panel Data Model

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Badi H. Baltagi () (Center for Policy Research, Maxwell School, Syracuse University, Syracuse, NY 13244-1020)
Seuck Heun Song
Jae Hyeok Kwon

Additional information is available for the following registered author(s):

Abstract

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 deerived. 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 T. However, misleading inference can occur when using marginal rather than joint or conditional LM tests when spatial correlation or heteroskedasticity is present.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www-cpr.maxwell.syr.edu/cprwps/pdf/wp108.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 108.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 42 pages
Date of creation: Jul 2008
Date of revision:
Handle: RePEc:max:cprwps:108

Contact details of provider:
Postal: 426 Eggers Hall, Syracuse, New York USA 13244-1020
Phone: (315) 443-3114
Fax: (315) 443-1081
Email:
Web page: http://www-cpr.maxwell.syr.edu
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Martha W. Bonney).

Related research
Keywords: Panel data; heteroskedasticity; spatial correlation; Lagrange multiplier tests; random effects;

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? There is a FAQ (frequently asked questions).

This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.