Testing for Random Effects and Spatial Lag Dependence in Panel Data Models

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse UniversityFollow
Long Liu, Syracuse University

Description/Abstract

This paper derives a joint Lagrande Multiplier (LM) test which simultaneously tests for the absence of spatial lag dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two standard LM statistics. The first one tests for the absence of spatial lag dependence ignoring the random individual effects, and the second one tests for the absence of random individual effects ignoring the spatial lag dependence. This paper also derives two conditional LM tests. The first one tests for the absence of random individual effects without ignoring the possible presence of spatial lag dependence. The second one tests for the absence of spatial lag dependence without ignoring the possible presence of random individual effects.

Document Type

Working Paper

Date

2008

Keywords

Panel data, spatial lag dependence, Lagrange Multiplier tests, random effects

Language

English

Series

Working Papers Series

Disciplines

Econometrics

Additional Information

Working paper no. 102

Harvest from RePEc at http://repec.org

Recommended Citation

Baltagi, Badi H. and Liu, Long, "Testing for Random Effects and Spatial Lag Dependence in Panel Data Models" (2008). Center for Policy Research. 64.
https://surface.syr.edu/cpr/64

Source

Metadata from RePEc

Creative Commons License

This work is licensed under a Creative Commons Attribution 3.0 License.