Testing for random effects and spatial lag dependence in panel data models

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticle

28 Scopus citations

Abstract

This paper derives a joint Lagrange 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.

Original languageEnglish (US)
Pages (from-to)3304-3306
Number of pages3
JournalStatistics and Probability Letters
Volume78
Issue number18
DOIs
StatePublished - Dec 15 2008

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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