TY  - RPRT
        AU  - Baltagi, Badi H.
AU  - Pirotte, Alain
AU  - Yang, Zhenlin
        TI  - Diagnostic Tests for Homoskedasticity in Spatial Cross-Sectional or Panel Models
        PY  - 2020/Oct/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 13803
        UR  - https://www.iza.org/publications/dp13803
        AB  - 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.
        KW  - non-normality
KW  - martingale difference
KW  - incidental parameters
KW  - heteroskedasticity
KW  - fixed effects
KW  - adjusted quasi-scores
KW  - short dynamic panels
KW  - spatial effects
        ER  -