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

• المؤلفون الرئيسيون: BALTAGI, Badi K., PIROTTE, Alain, Yang, Zhenlin
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2020
• الموضوعات: Spatial effects; Adjusted quasi-scores; Fixed effects; Heteroskedasticity; Incidental parameters; Martingale difference; Non-normality; Short dynamic panels; Econometrics
• الوصول للمادة أونلاين: 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

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...