This paper proposes simple tests to detect dynamic and random effects in linear panel data models, in the form of lagged dependent variables and random effects. We use the analytical framework of Bera and Yoon (1993) to derive tests for the presence of random effects, lagged dependent variables,...

Multinomial and ordered Logit models are quantitative techniques which are used in a range of disciplines nowadays. When applying these techniques, practitioners usually select a single model using either information-based criteria or pretesting. In this paper, we consider the alternative...

In this paper, we derive a class of modified score tests robust to local and distributional misspecifications for testing spatial error autocorrelation and spatial lag dependence. The proposed tests are general enough to include several popular tests for the spatial dependence as special cases....

We derive tests for persistent effects in a general linear dynamic panel data context. Two sources of persistent behavior are considered: time-invariant unobserved factors (captured by an individual random effect) and dynamic persistence or “state dependence” (captured by autoregressive...