Testing Panel Data Regression Models with Spatial Error Correlation



and

aσ2 Ih=
∂ d
aσ2 H0=
tt I
∂λ I н§


Jt In,

It (B,B)-

2vIτ (B'B}-W'B + b'w)(b'b)-


where B = Iχ — ATU and A is the MLE of A under Hq. Using (A.2), we get


¾=H L = -⅛γU-b)+⅛,ι⅛ (≡)2]≡∙

°σμ l¾ ^crz

This uses the fact that


(A.25)

(A.26)

(A.27)

(A.28)


"1H= = ⅛ BtB)(jτ in) = ⅛jt b'b,
μ IHg σv                      σv

d⅛ dff. = (⅛⅛ -B'B)(⅛⅛ B∙B) = ±jτ (B,B)2,

JO и I ∕ι∩       (7                    (7                       (7

μ           и u is                     -id                       'j is

tr[ "⅛L∙ = ⅛trljτ ≡] = ⅛r[B'B].
m∕< IH0 σ,j                  σi7

Similarly

<9L I TN 1 ʌ,r .^, ʌ,,ʌ

(A.29)


~w =—zτ S—τ~u [It (B B)]u = 0,

5σ2∣H0=    2⅛  2⅛

which yields

λ2 _ u'[Iτ B'B]u

σv ~ TN ’

This uses the fact that

d⅛. = ⅛⅛ bNjt (S'SN) = ^τ

U O       °, у                                                 u is

^ll, = Ji1τ ικ)(Iττ B'B) = τ b'b.

(J(J ,,        I ∕ι∩        (7                     (7                           (7

Z√       0'-7i√            l7 у                u is

Γ -lljfl = tn

l u ∂σl jIh0= Bl ∙

Also,

24



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