Tests for random time effects and spatial error correlation in panel regression models

Myoung Jin Jang; Dong Wan Shin

doi:10.1080/02331888.2012.748767

Tests for random time effects and spatial error correlation in panel regression models

Myoung Jin Jang, Dong Wan Shin

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

We consider a panel model with spatial autocorrelation and heterogeneity across time. Various Lagrange multiplier and likelihood ratio test statistics are developed for testing time effects and spatial effects, jointly, marginally or conditionally. Limiting null distributions of the tests are derived. Size and power performances of the proposed tests are compared by a Monte-Carlo experiment.

Original language	English
Pages (from-to)	101-120
Number of pages	20
Journal	Statistics
Volume	48
Issue number	1
DOIs	https://doi.org/10.1080/02331888.2012.748767
State	Published - Jan 2014

Keywords

factor model
Lagrange multiplier tests
likelihood ratio tests
random temporal component
spatial correlation
spatial panel data

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10.1080/02331888.2012.748767

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abstract = "We consider a panel model with spatial autocorrelation and heterogeneity across time. Various Lagrange multiplier and likelihood ratio test statistics are developed for testing time effects and spatial effects, jointly, marginally or conditionally. Limiting null distributions of the tests are derived. Size and power performances of the proposed tests are compared by a Monte-Carlo experiment.",

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author = "Jang, {Myoung Jin} and Shin, {Dong Wan}",

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KW - Lagrange multiplier tests

KW - likelihood ratio tests

KW - random temporal component

KW - spatial correlation

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Tests for random time effects and spatial error correlation in panel regression models

Abstract

Keywords

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