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
Description
Summary: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 also given. Asymptotic properties of the proposed tests are formally examined using a cross-section model and a panel model with fixed effects. Monte Carlo results show that the proposed tests based on the concentrated score function have good finite sample properties. Finally, the generality of the proposed approach in constructing tests for homoskedasticity is further demonstrated using a spatial dynamic panel data model with short panels.

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