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

• 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
• Institution: Singapore Management University

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...