Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
空间横截面与面板模型的同方差诊断检验
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a genuine (quasi) score vector is available, the AQS–OPMD method leads to finite sample improved tests over the usual…