Specification tests for temporal heterogeneity in spatial panel data models with fixed effects
We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD mod...
Saved in:
Main Authors: | , |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2020
|
Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/soe_research/2361 https://ink.library.smu.edu.sg/context/soe_research/article/3360/viewcontent/Spec_SV.pdf |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |
id |
sg-smu-ink.soe_research-3360 |
---|---|
record_format |
dspace |
spelling |
sg-smu-ink.soe_research-33602020-03-19T07:46:08Z Specification tests for temporal heterogeneity in spatial panel data models with fixed effects XU, Yuhong YANG, Zhenlin We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD model with spatial lag is treated in detail by first considering the model with individual fixed effects only, and then extending it to the model with both individual and time fixed effects. Two types of AQS tests (naïve and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to SPD models with both spatial lag and spatial error. Monte Carlo results show that the robust tests have much superior finite and large sample properties than the naive tests. Thus, the proposed robust tests provide reliable tools for identifying possible existence of temporal heterogeneity in regression and spatial coefficients. Empirical applications of the proposed tests are given. 2020-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2361 info:doi/10.1016/j.regsciurbeco.2019.103488 https://ink.library.smu.edu.sg/context/soe_research/article/3360/viewcontent/Spec_SV.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Change points Fixed effects Spatial panels Time-varying covariate effects Time-varying spatial effects Econometrics |
institution |
Singapore Management University |
building |
SMU Libraries |
continent |
Asia |
country |
Singapore Singapore |
content_provider |
SMU Libraries |
collection |
InK@SMU |
language |
English |
topic |
Change points Fixed effects Spatial panels Time-varying covariate effects Time-varying spatial effects Econometrics |
spellingShingle |
Change points Fixed effects Spatial panels Time-varying covariate effects Time-varying spatial effects Econometrics XU, Yuhong YANG, Zhenlin Specification tests for temporal heterogeneity in spatial panel data models with fixed effects |
description |
We propose adjusted quasi score (AQS) tests for testing the existence of temporal heterogeneity in slope and spatial parameters in spatial panel data (SPD) models, allowing for the presence of individual-specific and/or time-specific fixed effects (or in general intercept heterogeneity). The SPD model with spatial lag is treated in detail by first considering the model with individual fixed effects only, and then extending it to the model with both individual and time fixed effects. Two types of AQS tests (naïve and robust) are proposed, and their asymptotic properties are presented. These tests are then fully extended to SPD models with both spatial lag and spatial error. Monte Carlo results show that the robust tests have much superior finite and large sample properties than the naive tests. Thus, the proposed robust tests provide reliable tools for identifying possible existence of temporal heterogeneity in regression and spatial coefficients. Empirical applications of the proposed tests are given. |
format |
text |
author |
XU, Yuhong YANG, Zhenlin |
author_facet |
XU, Yuhong YANG, Zhenlin |
author_sort |
XU, Yuhong |
title |
Specification tests for temporal heterogeneity in spatial panel data models with fixed effects |
title_short |
Specification tests for temporal heterogeneity in spatial panel data models with fixed effects |
title_full |
Specification tests for temporal heterogeneity in spatial panel data models with fixed effects |
title_fullStr |
Specification tests for temporal heterogeneity in spatial panel data models with fixed effects |
title_full_unstemmed |
Specification tests for temporal heterogeneity in spatial panel data models with fixed effects |
title_sort |
specification tests for temporal heterogeneity in spatial panel data models with fixed effects |
publisher |
Institutional Knowledge at Singapore Management University |
publishDate |
2020 |
url |
https://ink.library.smu.edu.sg/soe_research/2361 https://ink.library.smu.edu.sg/context/soe_research/article/3360/viewcontent/Spec_SV.pdf |
_version_ |
1770575213856030720 |