SpatialEconometricModelEstimationSpatialLagandErrorModel幻灯片.pptVIP

Fixed Effects Model Estimation: ML Log-Likelihood Function Since Q is singular and |Q|=0, we maximize Fixed Effects Model Estimation: ML ML Estimator Fixed Effects ModelHypothesis Testing Pool or Not Pool F-Test based on dummy variable model: constant or zero coefficients for D w.r.t F(N-1,NT-N-K) F-test based on fixed effects (unrestricted) model vs. pooled (restricted) model Fixed Effects ModelHypothesis Testing Based on estimated residuals of the fixed effects model: Heteroscedasticity Breusch and Pagan (1980) Autocorrelation: AR(1) Breusch and Godfrey (1981) Random Effec