Testing for Autocorrelation in Dynamic Random Effects Models
نویسنده
چکیده
This article develops tests of covariance restrictions after estimating by three-stage least squares a dynamic random effects model from panel data. The asymptotic distribution of covariance matrix estimates under non-normality is obtained. It is shown how minimum chi-square tests for interesting covariance restrictions can be calculated from a generalised linear regression involving the sample autocovariances and dummy variables. Asymptotic efficiency exploiting covariance restrictions can also be attained using a GLS estimator.
منابع مشابه
TESTING FOR AUTOCORRELATION IN UNEQUALLY REPLICATED FUNCTIONAL MEASUREMENT ERROR MODELS
In the ordinary linear models, regressing the residuals against lagged values has been suggested as an approach to test the hypothesis of zero autocorrelation among residuals. In this paper we extend these results to the both equally and unequally replicated functionally measurement error models. We consider the equally and unequally replicated cases separately, because in the first case the re...
متن کاملMaximum Simulated Likelihood Estimation of Random Effects Dynamic Probit Models with Autocorrelated Errors
This paper investigates the use of Maximum Simulated Likelihood estimation for random effects dynamic probit models with autocorrelated errors. It presents a new Stata command, redpace, for this estimator and illustrates its usage. The paper also compares the use of pseudo-random numbers and Halton sequences of quasi-random numbers for the MSL estimation of these models.
متن کاملBayesian Quantile Regression with Adaptive Lasso Penalty for Dynamic Panel Data
Dynamic panel data models include the important part of medicine, social and economic studies. Existence of the lagged dependent variable as an explanatory variable is a sensible trait of these models. The estimation problem of these models arises from the correlation between the lagged depended variable and the current disturbance. Recently, quantile regression to analyze dynamic pa...
متن کاملTraffic Condition Detection in Freeway by using Autocorrelation of Density and Flow
Traffic conditions vary over time, and therefore, traffic behavior should be modeled as a stochastic process. In this study, a probabilistic approach utilizing Autocorrelation is proposed to model the stochastic variation of traffic conditions, and subsequently, predict the traffic conditions. Using autocorrelation of the time series samples of density and flow which are collected from segments...
متن کاملSpatial 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...
متن کامل