Non-normality and heteroscedasticity robust LM tests of spatial dependence

• Main Authors: Baltagi, Badi H., YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Centering; Heteroskedasticity; Non-normality; LM test; Panel model; Spatial dependence; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1505; https://ink.library.smu.edu.sg/context/soe_research/article/2504/viewcontent/WP156.pdf
• Institution: Singapore Management University

The standard LM tests for spatial dependence in linear and panel regressions are derived under the normality and homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity of the disturbances. Following Born and Breitung (20...