Testing for Cross-Sectional Dependence in a RandomEffects Model

• 作者: Afees Salisu Eugene Kouassi Sam Olofin
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: CROSS-SECTIONAL DEPENDENCE Error Components MODEL LAGRANGIAN MULTIPLIER (LM) Tests
• 年，卷（期）: 2012,（1）
• 页码范围: 88-97
• 页数: 10页
• 分类号: O21

摘要

This paper extends and generalizes the works of [1,2] to allow for cross-sectional dependence in the context of a two-way error components model and consequently develops LM test. The cross-sectional dependence follows the first order spatial autoregressive error (SAE) process and is imposed on the remainder disturbances. It is important to note that this paper does not consider alternative forms of spatial lag dependence other than SAE. It also does not allow for endogeneity of the regressors and requires the normality assumption to derive the LM test.