Appendix To “ Specification Tests for Temporal Heterogeneity in Spatial Panel Data Models with Fixed Effects , by Xu and Yang , 2019 ”

In this Supplementary Appendix, we present details on (i) the derivations of the Hessian, expected Hessian, and the VC matrices of the AQS functions, (ii) the proofs of the four theorems, and (iii) the estimation of the ‘typical’ sub-models including the homogeneous models, the SLE models with homogeneity in spatial error coefficients, and the panel SE (spatial error) models with one-way or two-way FE.