Testing Panel Data Regression Models with Spatial Error Correlation



Table 1 (continued)

Joint Tests for H0; A = σ2μ = 0

Frequency of Rejections in 2000 Replications

Weight Matrix is QUEEN

N, T

A

LM H

½ = 0:0
GHM

LRJj

LM H

½ = 0:2
GHM

LRJj

LM H

½ = 0:5
GHM

LRJj

25, 3

0.0

0.020

0.029

0.064

0.216

0.344

0.372

0.822

0.955

0.958

0.1

0.059

0.067

0.066

0.301

0.369

0.380

0.864

0.962

0.967

0.2

0.112

0.151

0.140

0.375

0.402

0.411

0.902

0.967

0.968

0.3

0.229

0.299

0.282

0.510

0.505

0.519

0.932

0.977

0.981

0.4

0.379

0.536

0.514

0.638

0.608

0.650

0.954

0.973

0.984

0.5

0.576

0.748

0.743

0.786

0.764

0.806

0.970

0.983

0.992

0.6

0.771

0.895

0.891

0.903

0.899

0.923

0.985

0.990

0.995

0.7

0.916

0.975

0.974

0.970

0.973

0.980

0.997

0.993

1.000

0.8

0.972

0.997

0.997

0.992

0.992

0.996

0.999

0.999

0.999

0.9

0.999

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

25, 7

0.0

0.040

0.042

0.056

0.782

0.893

0.876

1.000

1.000

1.000

0.1

0.109

0.131

0.117

0.870

0.920

0.904

1.000

1.000

1.000

0.2

0.226

0.337

0.317

0.937

0.936

0.932

1.000

1.000

1.000

0.3

0.493

0.679

0.646

0.964

0.956

0.951

1.000

1.000

1.000

0.4

0.772

0.893

0.883

0.995

0.990

0.989

1.000

1.000

1.000

0.5

0.937

0.987

0.987

0.999

0.999

0.999

1.000

1.000

1.000

0.6

0.997

0.999

0.999

1.000

1.000

1.000

1.000

1.000

1.000

49, 3

0.0

0.029

0.032

0.057

0.406

0.6070

0.622

0.990

1.000

1.000

0.1

0.094

0.108

0.100

0.552

0.6380

0.636

0.992

1.000

1.000

0.2

0.212

0.259

0.232

0.719

0.7140

0.716

0.998

1.000

1.000

0.3

0.392

0.546

0.517

0.811

0.7860

0.804

0.999

1.000

1.000

0.4

0.641

0.797

0.782

0.915

0.8890

0.901

0.999

1.000

1.000

0.5

0.862

0.959

0.953

0.972

0.9650

0.973

1.000

1.000

1.000

0.6

0.968

0.991

0.993

0.993

0.9940

0.995

1.000

1.000

1.000

0.7

1.000

1.000

1.000

1.000

0.9990

1.000

1.000

1.000

1.000

49, 7

0.0

0.052

0.056

0.056

0.961

0.994

0.995

1.000

1.000

1.000

0.1

0.156

0.167

0.153

0.989

0.993

0.995

1.000

1.000

1.000

0.2

0.419

0.566

0.536

0.998

0.998

0.996

1.000

1.000

1.000

0.3

0.775

0.908

0.899

1.000

1.000

0.999

1.000

1.000

1.000

0.4

0.961

0.995

0.994

1.000

1.000

1.000

1.000

1.000

1.000

0.5

0.992

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

0.6

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

12



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