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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

correlation given heteroskedasticity, as well as a conditional LM test for homoskedasticity given spatial correlation, are also … deerived. These LM tests are compared with marginal LM tests that ignore heteroskedasticity in testing for spatial correlation … conditional LM tests when spatial correlation or heteroskedasticity is present. …

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

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

correlation, as well as a conditional LM test for no first order serial correlation given heteroskedasticity, all in the context … alternatives, have good size and power under various forms of heteroskedasticity including exponential and quadratic functional …

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

Fixed-Effect Estimation of Highly-Mobile Production Technologies

Horrace, William C.; Schnier, Kurt E. - Center for Policy Research, Maxwell School - 2008

Revised from November 2006 and July 2007. We consider fixed-effect estimation of a production function where inputs and outputs vary over time, space, and cross-sectional unit. Variability in the spatial dimension allows for time-varying individual effects, without parametric assumptions on the...

Persistent link: https://www.econbiz.de/10005698354

On the Robustness of Robustness Checks of the Environmental Kuznets Curve

Galeotti, Marzio; Manera, Matteo; Lanza, Alessandro - 2006

Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject to continuous and intense scrutiny. The literature can be roughly divided in two historical phases. Initially, after the seminal contributions,...

Persistent link: https://www.econbiz.de/10010312579

Criterion-based inference for GMM in autoregressive panel data models

Bond, Stephen; Bowsher, Clive; Windmeijer, Frank - 2001

In this paper we examine the properties of a simple criterion-based, likelihood ratio type test of parameter restristions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based in the continuously-updated GMM criterion (Hansen,...

Persistent link: https://www.econbiz.de/10010293028

Uniform Theory for CCE under Heterogeneous Slopes and General Unknown Factors

Stauskas, Ovidijus - 2021

A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was thought before. Contrary to the usual stationarity...

Persistent link: https://www.econbiz.de/10013208900

Bootstrap Improved Inference for Factor-Augmented Regressions with CCE

De Vos, Ignace; Stauskas, Ovidijus - 2021

The Common Correlated Effects (CCE) methodology is now well established for the analysis of factor-augmented panel models. Yet, it is often neglected that the pooled variant is biased unless the cross-section dimension (N) of the dataset dominates the time series length (T). This is problematic...

Persistent link: https://www.econbiz.de/10013208907

Specification and estimation of random effects models with serial correlation of general form

Skoglund, Jimmy; Karlsson, Sune - 2001

This paper is concerned with maximum likelihood based inference in random effects models with serial correlation. Allowing for individual effects we introduce serial correlation of general form in the time effects as well as the idiosyncratic errors. A straightforward maximum likelihood...

Persistent link: https://www.econbiz.de/10010281265

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy; Karlsson, Sune - 2001

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

Persistent link: https://www.econbiz.de/10010281303

A Monte Carlo Study for Pure and Pretest Estimators of a Panel Data Model with Spatially Autocorrelated Disturbances

Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - Center for Policy Research, Maxwell School - 2007

This paper examines the consequences of model misspecification using a panel data model with spatially autocorrelated disturbances. The performance of several maximum likelihood estimators assuming different specifications for this model are compared using Monte Carlo experiments. These include...

Persistent link: https://www.econbiz.de/10005504094