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

DOI10.1016/j.jeconom.2006.09.001zbMath1418.62412OpenAlexW2092026457MaRDI QIDQ280265

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

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

zbMATH Keywords

serial correlationpanel datalikelihood ratio testsLagrange multiplier testsspatial error correlation

Mathematics Subject Classification ID

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

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Cites Work

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

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