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

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

We propose tests for homoskedasticity in spatial econometric models, based on joint or concentrated score functions and an Outer-Product-of-Martingale-Difference (OPMD) estimate of the variance of the joint or concentrated score functions. Versions of these tests robust against non-normality are als...

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Bibliographic Details
Main Authors: BALTAGI, Badi H., PIROTTE, Alain, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Adjusted quasi-scores
Dynamics
Fixed effects
Heteroskedasticity
Non-normality
Martingale difference
Score tests
Short panels
Spatial effects
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2179
https://ink.library.smu.edu.sg/context/soe_research/article/3179/viewcontent/Tests_Homo_BPY_June2018F_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2179
https://ink.library.smu.edu.sg/context/soe_research/article/3179/viewcontent/Tests_Homo_BPY_June2018F_.pdf

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