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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2013
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| 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 |