Multiple Testing for Different Structures of Spatial Dynamic Panel Data Models

Francesco Giordano (), Massimo Pacella () and Maria Lucia Parrella ()
Additional contact information
Francesco Giordano: University of Salerno
Massimo Pacella: University of Salerno
Maria Lucia Parrella: University of Salerno

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 387-390 from Springer

Abstract: Abstract In the econometric field, spatio-temporal data is often modeled by spatial dynamic panel data models (SDPD). In the last decade, several versions of the SDPD model have been proposed, based on different assumptions on the spatial parameters and different properties of the estimators. In particular, the classic version of the model assumes that the spatial parameters are homogeneous over location. Another version, proposed recently and called generalized SDPD, assumes that the spatial parameters are adaptive over location. In this work we propose a strategy for testing the particular structure of the spatial dynamic panel data model, by means of a multiple testing procedure that allows to choose between the generalized version of the model and some specific versions derived from the general one by imposing particular constraints on the parameters. The multiple test is made using the Bonferroni technique and the distribution of the multiple test statistic is derived by a residual bootstrap resampling procedure.

Keywords: Spatio-temporal models; Model testing; Bootstrap (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:spr:sprchp:978-3-319-89824-7_69

Ordering information: This item can be ordered from
http://www.springer.com/9783319898247

DOI: 10.1007/978-3-319-89824-7_69

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().