Testing Homoskedasticity in Spatial Panel Data Models

Bülent Güloğlu, Süleyman Taşpınar, Osman Doğan, Anil K. Bera

Research output: Contribution to journalArticlepeer-review


A robust test statistic for testing homoskedasticity in spatial panel data models that have entity and time fixed effects is introduced in a quasi maximum likelihood estimation setting. A size-correction approach is introduced to ensure that the score functions have an asymptotic distribution centered around zero in the local presence of certain nuisance parameters. The outer-product-of-martingale-difference (OPMD) method is used to formulate an estimator for the asymptotic variance of the score functions. The OPMD estimator and the adjusted score functions are used to formulate a computationally simple robust test statistic. The suggested test statistic does not require knowing the presence of spatial dependence in the outcome variable and/or the disturbance terms. The asymptotic distribution of the test statistic is established under the null and local alternative hypotheses. Through Monte Carlo simulations, the finite sample size and power properties of the proposed test statistic are investigated. Finally, two empirical applications are provided to illustrate the practical use of the proposed test statistic.

Original languageEnglish (US)
JournalEconometrics and Statistics
StateAccepted/In press - 2024


  • Heteroskedasticity
  • Homoskedasticity
  • Inference
  • LM Tests
  • OPMD
  • Spatial dependence
  • Spatial panel data models

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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