Search Results - subject:"Lagrange Multiplier tests"

Correlation Testing in Time Series, SpatialandCross-Sectional Data

Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2009

computationally simple tests isjustified. These specialize to Lagrange multiplier tests against parametric departuresof various kinds … class of computationally simple tests is justified. These specialize to Lagrange multiplier tests against parametric …. JEL Classifications: C21; C22; C29 Keywords: Correlation: heteroscedasticity; Lagrange multiplier tests …

Persistent link: https://www.econbiz.de/10008838725

Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model

Baltagi, Badi H.; Jung, Byoung Cheol; Song, Seuck Heun - Center for Policy Research, Maxwell School - 2008

This paper considers a panel data regression model with heteroskedastic as well as serially correlated disturbances, and derives a joint LM test for homoskedasticity and no first order serial correlation. The restricted model is the standard random individual error component model. It also...

Persistent link: https://www.econbiz.de/10005698343

Testing for Random Effects and Spatial Lag Dependence in Panel Data Models

Baltagi, Badi H.; Liu, Long - Center for Policy Research, Maxwell School - 2008

This paper derives a joint Lagrande Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the...

Persistent link: https://www.econbiz.de/10005698366

Testing for Heteroskedasticity and Spatial Correlation in a Random Effects Panel Data Model

Baltagi, Badi H.; Song, Seuck Heun; Kwon, Jae Hyeok - Center for Policy Research, Maxwell School - 2008

A panel data regression model with heteroskedastic as well as spatially correlated disturbance is considered, and a joint LM test for homoskedasticity and no spatial correlation is derived. In addition, a conditional LM test for no spatial correlation given heteroskedasticity, as well as a...

Persistent link: https://www.econbiz.de/10005220946

Correlation testing in time series, spatial and cross-sectional data

Robinson, Peter - 2007

class of computationally simple tests is justiied. These specialize Lagrange multiplier tests against parametric departures …

Persistent link: https://www.econbiz.de/10010318473

A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

Herwartz, Helmut - 2007

The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.

Persistent link: https://www.econbiz.de/10010296273

Correlation testing in time series, spatial and cross-sectional data

Robinson, Peter - Centre for Microdata Methods and Practice (CEMMAP) - 2007

broad class of computationally simple tests is justiied. These specialize Lagrange multiplier tests against parametric …; heteroscedasticity; Lagrange multiplier tests. Corresponding author: Tel. +44-20-7955-7516; fax: +44-20-7955-6592. E-mail address: p …

Persistent link: https://www.econbiz.de/10005509557

A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

Herwartz, Helmut - Institut für Volkswirtschaftslehre, … - 2007

Persistent link: https://www.econbiz.de/10005082906

Remittances, Financial Development, and Growth

Ruiz-Arranz, Marta; Giuliano, Paola - International Monetary Fund (IMF) - 2005

There has been little systematic empirical study on the relationship between remittances and growth. This paper attempts to examine this relationship. Using a newly constructed crosscountry of data series for remittances covering a large sample of developing countries, we relate the interaction...

Persistent link: https://www.econbiz.de/10005768968

Joint LM Test for Homoskedasticity in a One-Way error Component Model

Baltagi, Badi H.; Bresson, Georges; Pirotte, Alain - Center for Policy Research, Maxwell School - 2005

This paper considers a general heteroskedastic error component model using panel data, and derives a joint LM test for homoskedasticity against the alternative of heteroskedasticity in both error components. It contrasts this joint LM test with marginal LM tests that ignore the...

Persistent link: https://www.econbiz.de/10005698342