Testing for serial correlation, spatial autocorrelation and random effects using panel data

DOI10.1016/J.JECONOM.2006.09.001zbMATH Open1418.62412OpenAlexW2092026457MaRDI QIDQ280265FDOQ280265

Byoung Cheol Jung, Badi H. Baltagi, Seuck Heun Song, Won Koh

Publication date: 9 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.09.001

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zbMATH Keywords

serial correlationpanel datalikelihood ratio testsLagrange multiplier testsspatial error correlation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

• Testing panel data regression models with spatial error correlation.
• Panel data models with spatially correlated error components
• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• Spatial Price Competition: A Semiparametric Approach
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Maximum-likelihood estimation for the mixed analysis of variance model
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Rao's score test in spatial econometrics
• Useful matrix transformations for panel data analysis: a survey
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• Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood
• Testing AR(1) against MA(1) disturbances in an error component model
• Computing Maximum Likelihood Estimates for the Mixed A. O. V. Model Using the W Transformation

Cited In (44)

• Testing for random effects and spatial lag dependence in panel data models
• A modified residual-based test for serial correlation in linear panel data models
• On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors
• A spatio‐temporal analysis of the spread of sugarcane yellow leaf virus
• Locally adjusted LM test for spatial dependence in fixed effects panel data models
• Testing spatial effects and random effects in a nested panel data model
• Testing for heteroskedasticity and spatial correlation in a two way random effects model
• QML estimation of dynamic panel data models with spatial errors
• A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects
• Spatial dependence in small cooperative bank risk behavior and its effects on bank competitiveness and SMEs
• Maximum likelihood estimation of spatially and serially correlated panels with random effects
• Moment-based tests for individual and time effects in panel data models
• Impact Analysis for Spatial Autoregressive Models: With Application to Air Pollution in China
• Tests for skewness and kurtosis in the one-way error component model
• Estimation of semi-parametric varying-coefficient spatial panel data models with random-effects
• The spatial time lag in panel data models
• Memory properties and aggregation of spatial autoregressive models
• Testing for random effects and serial correlation in spatial autoregressive models
• A space-time filter for panel data models containing random effects
• Examining the network effects in bank risk: evidence from liquidity creation in mutual banks
• Empirical likelihood for spatial dynamic panel data models
• Testing for random effects in panel models with spatially correlated disturbances
• Does product complexity matter for competition in experimental retail markets?
• Fixed-effects dynamic spatial panel data models and impulse response analysis
• Spatial dynamic models with intertemporal optimization: specification and estimation
• Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
• ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS
• Estimation of fixed effects semiparametric single-index panel model with spatio-temporal correlated errors
• Estimation of partially specified spatial panel data models with fixed-effects
• Bayesian local influence analysis of skew-normal spatial dynamic panel data models
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• A robust test for network generated dependence
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• SPECIFICATION OF VARIANCE MATRICES FOR PANEL DATA MODELS
• First difference estimation of spatial dynamic panel data models with fixed effects
• Skew-normal generalized spatial panel data model
• A robust test for serial correlation in panel data models
• Tests for random time effects and spatial error correlation in panel regression models
• High dimensional cross-sectional dependence test under arbitrary serial correlation
• Serial and spatial error correlation
• Testing panel data regression models with spatial error correlation.
• Penalized quantile regression for spatial panel data with fixed effects
• Testing for serial correlation in three-dimensional panel data models

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