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- W2187486586 abstract "This paper proposes an alternative testing procedure to the Hausman test statistic to help the applied researcher to determine the adequacy of the random eects specification in a two-way spatial autoregressive panel data model. Our model includes both individual and time specific eects to deal with unobserved heterogeneity. Moreover, we allow for interactions between cross-sectional units through the presence of an endogenous spatial lag (SAR). We suggest a two-step procedure that first partial out the spatial component of the model and then generalizes the original Mundlak approach to both individual and time eects. Three tests are proposed to find out the best way to model individual and time eects in the specification. This approach has the advantage of simplicity since all tests are based on FGLS estimations and standard Wald statistics can be applied. Some Monte Carlo simulations show the properties of this procedure in small sample." @default.
- W2187486586 created "2016-06-24" @default.
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- W2187486586 date "2010-01-01" @default.
- W2187486586 modified "2023-09-27" @default.
- W2187486586 title "Testing Random Eects in Two-Way Spatial Panel Data Models" @default.
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