%0 Report
        %A Baltagi, Badi H.
%A Pirotte, Alain
%A Yang, Zhenlin
        %T Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models
        %D 2020
        %8 2020 Oct
        %I Institute of Labor Economics (IZA)
        %C Bonn
        %7 IZA Discussion Paper
        %N 13803
        %U https://www.iza.org/index.php/publications/dp13803
        %X We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a genuine (quasi) score vector is available, the AQS-OPMD method leads to finite sample improved tests over the usual methods. More importantly in non-standard problems where a genuine (quasi) score is not available and the usual methods fail, the proposed AQS-OPMD method provides feasible solutions. The AQS tests are formally derived and asymptotic properties examined for three representative models: spatial cross-sectional, static or dynamic panel models. Monte Carlo results show that the proposed AQS tests have good finite sample properties.
        %K non-normality
%K martingale difference
%K incidental parameters
%K heteroskedasticity
%K fixed effects
%K adjusted quasi-scores
%K short dynamic panels
%K spatial effects