Heteroskedasticity and Non-normality Robust LM Tests of Spatial Dependence

Heteroskedasticity and Non-normality Robust LM Tests of Spatial Dependence

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...

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Bibliographic Details
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/1548
https://ink.library.smu.edu.sg/context/soe_research/article/2547/viewcontent/HeteroskedasticityNon_normalityRobustLM_2013.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1548
https://ink.library.smu.edu.sg/context/soe_research/article/2547/viewcontent/HeteroskedasticityNon_normalityRobustLM_2013.pdf

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