Bibliographic Details
| Title: |
Testing for random effects and serial correlation in spatial autoregressive models |
| Authors: |
Montes-Rojas, Gabriel V.1 Gabriel.Montes-Rojas.1@city.ac.uk |
| Source: |
Journal of Statistical Planning & Inference. Apr2010, Vol. 140 Issue 4, p1013-1020. 8p. |
| Subjects: |
Statistical correlation, Autoregression (Statistics), Mathematical models, Estimation theory, Maximum likelihood statistics, Instrumental variables (Statistics), Monte Carlo method |
| Abstract: |
Abstract: This paper constructs and evaluates tests for random effects and serial correlation in spatial autoregressive panel data models. In these models, ignoring the presence of random effects not only produces misleading inference but inconsistent estimation of the regression coefficients. Two different estimation methods are considered: maximum likelihood and instrumental variables. For each estimator, optimal tests are constructed: Lagrange multiplier in the first case; Neyman''s in the second. In addition, locally size-robust tests, for individual hypotheses under local misspecification of the unconsidered parameter, are constructed. Extensive Monte Carlo evidence is presented. [Copyright &y& Elsevier] |
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| Database: |
Engineering Source |
