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Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models

Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020

We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...

Persistent link: https://www.econbiz.de/10012305035

Heteroskedasticity in one-way error component probit models

Moussa, Richard Kouamé - In: Econometrics : open access journal 7 (2019) 3/35, pp. 1-22

This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a … likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic … heteroskedasticity. Furthermore, the power of the test increases with larger individual and time dimensions. The robustness analysis …

Persistent link: https://www.econbiz.de/10012160867

Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances

Badinger, Harald - 2014

panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error … heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random …

Persistent link: https://www.econbiz.de/10013051285

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2010

allowance for heteroskedasticity is generally important. The solution is a Fuller (1977) like estimator and standard errors that … are robust to heteroskedasticity and many instruments. We show that the estimator has finite moments and high asymptotic … homoskedasticity, and have much lower bias and dispersion under heteroskedasticity, in nearly all cases considered. -- Instrumental …

Persistent link: https://www.econbiz.de/10008668817

Instrumental variable estimation with heteroskedasticity and many instruments

Hausman, Jerry A.; Newey, Whitney K.; Woutersen, Tiemen; … - 2011 - Rev.

Persistent link: https://www.econbiz.de/10009130702

Panel data gravity models of international trade

Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - 2014

One of the oldest and largest literatures in empirical economics is concerned with the estimation of demand and supply of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective empirical models specified and estimated are often...

Persistent link: https://www.econbiz.de/10010237192

Latent Factor Analysis in Short Panels

Fortin, Alain-Philippe; Gagliardini, Patrick; Scaillet, … - 2023

We develop inferential tools for latent factor analysis in short panels. The pseudo maximum likelihood setting under a large cross-sectional dimension n and a fixed time series dimension T relies on a diagonal T x T covariance matrix of the errors without imposing sphericity or Gaussianity. We...

Persistent link: https://www.econbiz.de/10014350141

Testing for unit roots in nonlinear dynamic heterogeneous panels

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]

In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections....

Persistent link: https://www.econbiz.de/10002595402

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...

Persistent link: https://www.econbiz.de/10002577852

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

Baltagi, Badi H.; Liu, Long - 2011

This paper derives a joint Lagrange 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/10014183452