On testing for spatial or social network dependence in panel data allowing for network variability
Xiaodong Liu and Ingmar R. Prucha , ( 247 )
Journal of Econometrics
January
2025
Abstract

The paper introduces robust generalized Moran I tests for network-generated cross-sectional dependence in a panel data setting where unit-specific effects can be random or fixed. Network dependence may originate from endogenous variables, exogenous variables, and/or disturbances, and the network dependence is allowed to vary over time. The formulation of the test statistics also aims at accommodating situations where the researcher is unsure about the exact nature of the network.

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