Residual Diagnostics for Cross-section Time Series Regression Models

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National Rates of Opportunity Entrepreneurship Activity: Insights from Institutional Anomie Theory (2014, methodology): “We used a modified Wald statistic to test for heteroskedasticity as recommended by Baum (2001). The test for first-order serial correlation was the Wooldridge test for autocorrelation in the errors of a linear-panel model as recommended by Drukker (2003). These tests indicated the presence of hetero”
Competition in Germany’s Minute Reserve Power Market: An Econometric Analysis (2014, background): “See Baum (2001) for a more detailed discussion. lationship between the control areas before the ﬁrst reform was put in place on 1 December 2006 with the interrelationship after 1 December 2006.”
Analyzing the Effect of Corporate Environmental Performance on Corporate Financial Performance in Developed and Developing Countries (2017, methodology): “We check the existence of heteroscedasticity in the residuals of the regression models, implementing the modified Wald test for groupwise heteroscedasticity [117,118], the results of which indicate that we must reject the null hypothesis of homoscedasticity, as shown in Table 8.”
Testing for Cross-Sectional Dependence in Panel-Data Models (2006, methodology): “When T > N , one may use for these purposes the Lagrange multiplier (LM) test, developed by Breusch and Pagan (1980), which is readily available in Stata through the command xttest2 (Baum 2001, 2003, 2004).”