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Multiple Testing for Different Structures of Spatial Dynamic Panel Data Models

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Francesco Giordano

    (University of Salerno)

  • Massimo Pacella

    (University of Salerno)

  • Maria Lucia Parrella

    (University of Salerno)

Abstract

In the econometric field, spatio-temporal data is often modeled by spatial dynamic panel data models (SDPD). In the last decade, several versions of the SDPD model have been proposed, based on different assumptions on the spatial parameters and different properties of the estimators. In particular, the classic version of the model assumes that the spatial parameters are homogeneous over location. Another version, proposed recently and called generalized SDPD, assumes that the spatial parameters are adaptive over location. In this work we propose a strategy for testing the particular structure of the spatial dynamic panel data model, by means of a multiple testing procedure that allows to choose between the generalized version of the model and some specific versions derived from the general one by imposing particular constraints on the parameters. The multiple test is made using the Bonferroni technique and the distribution of the multiple test statistic is derived by a residual bootstrap resampling procedure.

Suggested Citation

  • Francesco Giordano & Massimo Pacella & Maria Lucia Parrella, 2018. "Multiple Testing for Different Structures of Spatial Dynamic Panel Data Models," Springer Books, in: Marco Corazza & María Durbán & Aurea Grané & Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 387-390, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-89824-7_69
    DOI: 10.1007/978-3-319-89824-7_69
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