A test strategy for spurious spatial regression, spatial nonstationarity, and spatial cointegration
AbstractA test strategy consisting of a two-step Lagrange Multiplier test is suggested as a device to reveal spatial nonstationarity and spurious spatial regression. It is further illustrated how the test strategy can be used as a diagnostic for presence of a spatial cointegrating relationship between two variables. Using Monte Carlo simulations it is shown that the small-sample behaviour of the test strategy is as desired in these cases. Copyright (c) 2006 the author(s). Journal compilation (c) 2006 RSAI.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Papers in Regional Science.
Volume (Year): 85 (2006)
Issue (Month): 3 (08)
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=1056-8190
Other versions of this item:
- Jorgen Lauridsen & Reinhold Kosfeld, 2003. "A Test Strategy for Spurious Spatial Regression, Spatial Nonstationarity, and Spatial Cointegration," ERSA conference papers ersa03p42, European Regional Science Association.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jorgen Lauridsen & Birgit Nahrstedt, 1998. "Spatial patterns in intermunicipal Danish commuting," ERSA conference papers ersa98p441, European Regional Science Association.
- Jørgen Lauridsen, 2006. "Spatial autoregressively distributed lag models: equivalent forms, estimation, and an illustrative commuting model," The Annals of Regional Science, Springer, vol. 40(2), pages 297-311, June.
- Mur, Jesus, 2002. "On the specification of spatial econometric models," ERSA conference papers ersa02p012, European Regional Science Association.
- Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, vol. 33(2), pages 143-156.
- Tony Smith & Ka Lee, 2012. "The effects of spatial autoregressive dependencies on inference in ordinary least squares: a geometric approach," Journal of Geographical Systems, Springer, vol. 14(1), pages 91-124, January.
- Reinhold Kosfeld & Jorgen Lauridsen, 2004.
"Dynamic spatial modelling of regional convergence processes,"
Springer, vol. 29(4), pages 705-722, December.
- Lauridsen, Jørgen & Kosfeld, Reinhold, 2004. "Dynamic Spatial Modelling of Regional Convergence Processes," HWWA Discussion Papers 261, Hamburg Institute of International Economics (HWWA).
- Baltagi, Badi H. & Fingleton, Bernard & Pirotte, Alain, 2014.
"Spatial lag models with nested random effects: An instrumental variable procedure with an application to English house prices,"
Journal of Urban Economics,
Elsevier, vol. 80(C), pages 76-86.
- Badi H. Baltagi & Bernard Fingleton & Alain Pirotte, 2013. "Spatial Lag Models with Nested Random Effects: An Instrumental Variable Procedure with an Application to English House Prices," Center for Policy Research Working Papers 161, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Chihwa Kao & Long Liu, 2012.
"The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term,"
Center for Policy Research Working Papers
150, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Chihwa Kao & Long Liu, 2013. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(3), pages 241-270, September.
- Badi H. Baltagi & Chihwa Kao & Long Liu, 2012. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Center for Policy Research Working Papers 151, Center for Policy Research, Maxwell School, Syracuse University.
- Andrea Vaona, 2010. "Spatial autocorrelation and the sensitivity of RESET: a simulation study," Journal of Geographical Systems, Springer, vol. 12(1), pages 89-103, March.
- repec:asg:wpaper:1013 is not listed on IDEAS
- Lauridsen, J. & Kosfeld, R., 2004. "A wald Test for Spatial Nonstationarity," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 1-12, Diciembre.
- Jørgen Lauridsen & Reinhold Kosfeld, 2007. "Spatial cointegration and heteroscedasticity," Journal of Geographical Systems, Springer, vol. 9(3), pages 253-265, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.