Testing for Serial Correlation, Spatial Autocorrelation and Random Effects

By W. Koh, B. Jung, Badi H. Baltagi, Seuck Heun Song. 2004

394 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8624fd79f8374f660bddfa9e4efd4d316aa1c997

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In Economics and Econometrics

Citations in the corpus

On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors (2013, neutral): “Letm(b  ) denote the sample moment vector obtained by replacing in (11) the 2SLS residuals by the GS2SLS residuals b u, b u and b u.”
QML estimation of dynamic panel data models with spatial errors (2015, background): “See, among others, Elhorst (2003), Baltagi et al. (2003), Baltagi and Li (2004), Chen and Conley (2001), Pesaran (2004), Kapoor et al. (2007), Baltagi et al. (2007), Lee and Yu (2010a), Mutl and Pfaffermayr (2011), Parent and LeSage (2011), and Baltagi et ∗We thank Badi H. Baltagi, Harry Kelejian,…”
Dynamic spatial panels: models, methods, and inferences (2012, background): “Baltagi et al. (2006) extend this study to include serial autocorrelation (c, q, l; k, j not included).”
Thirty years of spatial econometrics (2010, background): “A large number of specification tests are developed for a range of alternatives consisting of spatial effects, random effects as well as general cross-sectional dependence, among others, in Baltagi et al. (2003, 2007b); Kapetanios and Pesaran (2007); and Pesaran et al. (2008).”
Do Cooperative Research and Development (R&D) Subsidies Stimulate Regional Innovation Efficiency? Evidence from Germany (2015, methodology): “…error terms.9 A BSJK (Baltagi, Song, Jung, and Koh LM test for spatial panels) test reveals that this is the case and should be taken into account (BALTAGI et al., 2007).10 Accordingly, a spatial panel fixed-effects model is used for the second-stage regression, as proposed by ELHORST (2009).”
Estimating Panel Models With Internal and External Habit Formation (2010, background): “For example, both Kapoor, Kelejian, and Prucha (2007) and Baltagi et al. (2007) assume that the control variables are exogenous.”
Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model (2010, methodology): “Baltagi et al. (2007a) generalize these tests by deriving new test statistics that also consider the problem of serial correlation in the remainder error term.”
ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS (2010, background): “ Baltagi et al. (2003, 2007) consider the testing of spatial and serial”
A Spatial Cliff-Ord-Type Model with Heteroskedastic Innovations: Small and Large Sample Results (2009, background): “The estimator b ρn is a special case of the GMM estimators for ρ defined in equation ( 9 ) in Kelejian and Prucha with e Υn = b”