The Hausman test in a Cliff and Ord panel model

Jan Mutl and Michael Pfaffermayr

Econometrics Journal, 2011, vol. 14, 48-76

Abstract: This paper studies the random effects model and the fixed effects model for spatial panel data. The model includes a Cliff and Ord type spatial lag of the dependent variable as well as a spatially lagged one‐way error component structure, accounting for both heterogeneity and spatial correlation across units. We discuss instrumental variable estimation under both the fixed and the random effects specifications and propose a spatial Hausman test which compares these two models accounting for spatial autocorrelation in the disturbances. We derive the large sample properties of our estimation procedures and show that the test statistic is asymptotically chi‐square distributed. A small Monte Carlo study demonstrates that this test works well even in small panels.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (91)

Downloads: (external link)
http://hdl.handle.net/10.1111/ectj.2011.14.issue-1

Related works:
Journal Article: The Hausman test in a Cliff and Ord panel model (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:emjrnl:v:14:y:2011:i::p:48-76

Ordering information: This journal article can be ordered from
http://onlinelibrary ... 1111/(ISSN)1368-423X

Access Statistics for this article

Econometrics Journal is currently edited by Jaap Abbring, Victor Chernozhukov, Michael Jansson and Dennis Kristensen

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().