Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models

Badi Baltagi, Alain Pirotte () and Zhenlin Yang
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Alain Pirotte: CRED, University Paris II Pantheon-Assas

No 12-2018, Economics and Statistics Working Papers from Singapore Management University, School of Economics

Abstract: We propose tests for homoskedasticity in spatial econometric models, based on joint or concentrated score functions and an Outer-Product-of-Martingale-Difference (OPMD) estimate of the variance of the joint or concentrated score functions. Versions of these tests robust against non-normality are also given. Asymptotic properties of the proposed tests are formally examined using a cross-section model and a panel model with fixed effects. Monte Carlo results show that the proposed tests based on the concentrated score function have good finite sample properties. Finally, the generality of the proposed approach in constructing tests for homoskedasticity is further demonstrated using a spatial dynamic panel data model with short panels.

Keywords: Adjusted quasi-scores; Dynamics; Fixed effects; Heteroskedasticity; Non-normality; Martingale difference; Score tests; Short panels; Spatial effects. (search for similar items in EconPapers)
JEL-codes: C12 C18 C21 C23 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2018-07-01
New Economics Papers: this item is included in nep-ecm and nep-sea
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Related works:
Journal Article: Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models (2021)
Working Paper: Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models (2021)
Working Paper: Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:smuesw:2018_012

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