Testing Exogeneity in Cross-Section Regression by Sorting Data

Nonlinear Regression On Cross-Section Data

Spatial Correlation Testing for Errors in Panel Data Regression Model

To investigate the spatial error correlation in panel regression models, various statistical hypothesizes and testings have been proposed. This paper, within introduction to spatial panel data regression model, existence of spatial error correlation and random effects is investigated by a joint Lagrange Multiplier test, which simultaneously tests their existence. For this purpose, joint Lagrang...

Cross-section Regression with Common Stocks By

1 This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) estimators in this context. The results of the paper allow for any form of cross-section dependence and heterogeneity across population units. The probability limits of the LS estimators ...

Testing Cross-Section Correlation in Panel Data Using Spacings

This article provides tools for characterizing the extent of cross-section correlation in panel data when we do not know a priori how many and which series are correlated. Our tests are based on the probability integral transformation of the ordered correlations. We first split the transformed correlations by their size into two groups, then evaluate the variance ratio of the two subsamples. Th...

Testing for Exogeneity in Nonlinear Threshold Models

Most work in the area of nonlinear econometric modelling is based on a single equation and assumes exogeneity of the explanatory variables. Recently, work by Caner and Hansen (2003) and Psaradakis, Sola, and Spagnolo (2004) has considered the possibility of estimating nonlinear models by methods that take into account endogeneity but provided no tests for exogeneity. This paper examines the pro...