Joint tests for dynamic and spatial effects in short dynamic panel data models with fixed effects and heteroskedasticity

Joint tests for dynamic and spatial effects in short dynamic panel data models with fixed effects and heteroskedasticity

Simple and reliable tests are proposed for testing the existence of dynamic and/or spatial effects in fixed-effects panel data models with small T and possibly heteroskedastic errors. The tests are constructed based on the adjusted quasi scores (AQS), which correct the conditional quasi scores given...

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Bibliographic Details
Main Author: YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Adjusted quasi scores
Dynamic effect
Fixed effects
Heteroskedasticity
Initial conditions free
Nonnormality
Short panels
Tests
Spatial effects
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2523
https://ink.library.smu.edu.sg/context/soe_research/article/3522/viewcontent/AQST_SDPD_Feb2016.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2523
https://ink.library.smu.edu.sg/context/soe_research/article/3522/viewcontent/AQST_SDPD_Feb2016.pdf

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