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Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models

Author

Listed:
  • Baltagi, Badi

    (Syracuse University)

  • Pirotte, Alain

    (CRED, University Paris II Pantheon-Assas)

  • Yang, Zhenlin

    (School of Economics, Singapore Management University)

Abstract

We propose tests for homoskedasticity in spatial econometric models, based on joint or concentrated score functions and an Outer-Product-of-Martingale-Difference (OPMD) estimate of the variance of the joint or concentrated score functions. Versions of these tests robust against non-normality are also given. Asymptotic properties of the proposed tests are formally examined using a cross-section model and a panel model with fixed effects. Monte Carlo results show that the proposed tests based on the concentrated score function have good finite sample properties. Finally, the generality of the proposed approach in constructing tests for homoskedasticity is further demonstrated using a spatial dynamic panel data model with short panels.

Suggested Citation

  • Baltagi, Badi & Pirotte, Alain & Yang, Zhenlin, 2018. "Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models," Economics and Statistics Working Papers 12-2018, Singapore Management University, School of Economics.
    • Handle: RePEc:ris:smuesw:2018_012
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    References listed on IDEAS

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    More about this item

    Keywords

    Adjusted quasi-scores; Dynamics; Fixed effects; Heteroskedasticity; Non-normality; Martingale difference; Score tests; Short panels; Spatial effects.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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