Testing for spatial lag dependence and homoskedasticity in a random effects panel data model

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-07-07 DOI:10.1016/j.econlet.2025.112469

Badi H. Baltagi , Long Liu

引用次数: 0

Abstract

This paper derives a joint Lagrange Multiplier (LM) test for spatial correlation and homoskedasticity for a spatial autoregressive (SAR) panel model with random effects. The heteroskedasticity in the random effects term is an unknown function of known strictly exogenous variables as in Holly and Gardiol (2000). The latter paper deals with a panel random effects model with heteroskedasticity that ignores the spatial correlation. Conditional LM tests for homoskedasticity given spatial lag correlation, as well as zero spatial lag correlation given heteroskedasticity are also derived. Monte Carlo experiments are performed to study the small sample performance of these tests.

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随机效应面板数据模型的空间滞后依赖性和同方差性检验

本文对具有随机效应的空间自回归（SAR）面板模型导出了空间相关性和同方差性的联合拉格朗日乘数检验。随机效应项中的异方差是已知严格外生变量的未知函数，如Holly和Gardiol（2000）所述。后一篇论文讨论了一个忽略空间相关性的具有异方差的面板随机效应模型。给出了空间滞后相关条件下的同方差和异方差条件下的零空间滞后相关的条件LM检验。通过蒙特卡罗实验研究了这些测试的小样本性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.