## Testing for heteroskedasticity and spatial correlation in a random effects panel data model

- Badi H. Baltagi, Seuck Heun Song, Jae Hyeok Kwon
- Computational Statistics & Data Analysis
- 2009

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@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} }

- Published 2014 in Computational Statistics & Data Analysis
DOI:10.1016/j.csda.2013.09.003

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