Testing for heteroskedasticity and spatial correlation in a two way random effects model

@article{Kouassi2014TestingFH,
  title={Testing for heteroskedasticity and spatial correlation in a two way random effects model},
  author={Eugene Kouassi and Mbodja Mougou{\'e} and Joel Sango and J. M. Bosson Brou and Claude M. O. Amba and Afeez Adebare Salisu},
  journal={Computational Statistics & Data Analysis},
  year={2014},
  volume={70},
  pages={153-171}
}
An extension of the Holly and Gardiol (2000) and Baltagi et al. (2009) papers to the two way context, with heteroskedastic and spatially correlated disturbances is considered. One then derives a joint LM test for homoskedasticity andno spatial correlation. In addition, two conditional LM tests are also derived: for no spatial correlation given heteroskedasticity and for homoskedasticity given spatial correlation respectively. These tests are compared with marginal ones that ignore… CONTINUE READING