Testing for Cross-Sectional Dependence in a RandomEffects Model  

作　　者：Afees Salisu Sam Olofin Eugene Kouassi 

机构地区：[1]不详

出　　处：《Open Journal of Statistics》2012年第1期88-97,共10页统计学期刊（英文）

摘　　要：This paper extends and generalizes the works of [1,2] to allow for cross-sectional dependence in the context of a two-way error components model and consequently develops LM test. The cross-sectional dependence follows the first order spatial autoregressive error (SAE) process and is imposed on the remainder disturbances. It is important to note that this paper does not consider alternative forms of spatial lag dependence other than SAE. It also does not allow for endogeneity of the regressors and requires the normality assumption to derive the LM test.This paper extends and generalizes the works of [1,2] to allow for cross-sectional dependence in the context of a two-way error components model and consequently develops LM test. The cross-sectional dependence follows the first order spatial autoregressive error (SAE) process and is imposed on the remainder disturbances. It is important to note that this paper does not consider alternative forms of spatial lag dependence other than SAE. It also does not allow for endogeneity of the regressors and requires the normality assumption to derive the LM test.

关 键 词：CROSS-SECTIONAL DEPENDENCE Error Components MODEL LAGRANGIAN MULTIPLIER (LM) Tests 

分 类 号：O21[理学—概率论与数理统计]