Abstract
We consider a panel model with spatial autocorrelation and heterogeneity across time. Various Lagrange multiplier and likelihood ratio test statistics are developed for testing time effects and spatial effects, jointly, marginally or conditionally. Limiting null distributions of the tests are derived. Size and power performances of the proposed tests are compared by a Monte-Carlo experiment.
Acknowledgements
The authors are very grateful for valuable comments of a referee, which considerably improved the paper. This research was supported by National Research Foundation of Korea (NRF-2009-0084772, NRF-2009-0070618).