TY  - JOUR
TI  - TESTING HOMOSKEDASTICITY IN CROSS-SECTIONAL SPATIAL AUTOREGRESSIVE MODELS
AB  - In this paper, we suggest an outer-product-of-gradient (OPG) variant of Lagrange multiplier (LM) test statistic for testinghomoskedasticity in cross-sectional spatial autoregressive models. We use the OPG method to estimate the asymptoticvariance of the score functions in a quasi-maximum likelihood (QML) setting. We use the OPG variance estimate to develop arobust test statistic in the local presence of spatial parameters. Under some general assumptions, we establish the asymptoticdistribution of our test statistic under the null and local alternative hypotheses. In a Monte Carlo simulation, we investigatethe finite sample size and power properties of our test. Our simulation results show that our tests perform well in finitesamples.
AU  - TAŞPINAR, Süleyman
AU  - Doğan, Osman
DO  - 10.30794/pausbed.858658
PY  - 2021
JO  - Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
VL  - 0
IS  - 46
SN  - 1308-2922
SP  - 497
EP  - 512
DB  - TRDizin
UR  - http://search/yayin/detay/443029
ER  -