Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models

DOI10.1016/j.jeconom.2020.10.002OpenAlexW2905110237MaRDI QIDQ2236863

Alain Pirotte, Badi H. Baltagi, Zhenlin Yang

Publication date: 26 October 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2179

zbMATH Keywords

fixed effectsnon-normalityincidental parametersheteroskedasticitymartingale differencespatial effectsadjusted quasi-scoresshort dynamic panels

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• spatial panels

Cites Work

• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Estimation of spatial autoregressive panel data models with fixed effects
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Identification and estimation of econometric models with group interactions, contextual factors and fixed effects
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels
• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• LM tests of spatial dependence based on bootstrap critical values
• QML estimation of dynamic panel data models with spatial errors
• A general method for third-order bias and variance corrections on a nonlinear estimator
• Large sample properties of the matrix exponential spatial specification with an application to FDI
• Principal components estimation and identification of static factors
• Analysis of Panel Data
• Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity
• Standardized LM tests for spatial error dependence in linear or panel regressions
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Consistent Estimates Based on Partially Consistent Observations
• Spatial Econometrics
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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