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

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

We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OP...

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Bibliographic Details
Main Authors: BALTAGI, Badi K., PIROTTE, Alain, Yang, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Spatial effects
Adjusted quasi-scores
Fixed effects
Heteroskedasticity
Incidental parameters
Martingale difference
Non-normality
Short dynamic panels
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2479
https://ink.library.smu.edu.sg/context/soe_research/article/3478/viewcontent/Tests_Homo_BPY_June2018_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2479
https://ink.library.smu.edu.sg/context/soe_research/article/3478/viewcontent/Tests_Homo_BPY_June2018_sv.pdf

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