Testing for heteroskedasticity and spatial correlation in a random effects panel data model
نویسندگان
چکیده
منابع مشابه
Testing for heteroskedasticity and spatial correlation in a random effects panel data model
A panel data regression model with heteroskedastic as well as spatially correlated disturbancesis considered, and a joint LM test for homoskedasticity and no spatial correlation is derived. In addition, a conditional LM test for no spatial correlation given heteroskedasticity, as well as a conditional LM test for homoskedasticity given spatial correlation, are also derived. These LM tests are c...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2009
ISSN: 0167-9473
DOI: 10.1016/j.csda.2008.06.009