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Double-Length Regression tests for testing functional forms and spatial error dependence

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  • Le, Canh Quang
  • Li, Dong
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Abstract

In this paper we derive test statistics based on Double-Length Regressions (DLRs) for testing functional forms and spatial error dependence. These DLR tests are computationally simple. Their Monte Carlo performance is similar to that of the Hessian-based Lagrangian Multiplier tests.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4T9CCPH-2/2/7559eb809658cdc7e7bd1e28dcf639cd
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 101 (2008)
Issue (Month): 3 (December)
Pages: 253-257

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Handle: RePEc:eee:ecolet:v:101:y:2008:i:3:p:253-257

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Double-Length Regression Spatial error dependence Box-Cox;

References

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  1. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  2. Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 31-40.
  3. Russell Davidson & James G. MacKinnon, 1980. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 390, Queen's University, Department of Economics.
  4. Russell Davidson & James G. MacKinnon, 1987. "Double-Length Artificial Regressions," Working Papers 691, Queen's University, Department of Economics.
  5. Catherine Baumont & Cem Ertur & Julie Le Gallo, 2002. "The European Regional Convergence Process, 1980-1995: Do Spatial Regimes and Spatial Dependence Matter?," Econometrics 0207002, EconWPA.
  6. Simonetta Longhi & Peter Nijkamp, 2007. "Forecasting Regional Labor Market Developments under Spatial Autocorrelation," International Regional Science Review, , vol. 30(2), pages 100-119, April.
  7. Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
  8. T J Fik & G F Mulligan, 1998. "Functional form and spatial interaction models," Environment and Planning A, Pion Ltd, London, vol. 30(8), pages 1497-1507, August.
  9. Florax, R. & Folmer, H., 1991. "Specification and Estimation of Spatial Linear Regression Models: Monte Carlo Evaluation of Pre-Test Estimator," Mansholt Working Papers 1991-4, Wageningen University, Mansholt Graduate School of Social Sciences.
  10. Boxall, Peter C. & Chan, Wing H. & McMillan, Melville L., 2005. "The impact of oil and natural gas facilities on rural residential property values: a spatial hedonic analysis," Resource and Energy Economics, Elsevier, vol. 27(3), pages 248-269, October.
  11. Donald J. Lacombe & Timothy M. Shaughnessy, 2007. "Accounting for Spatial Error Correlation in the 2004 Presidential Popular Vote," Public Finance Review, , vol. 35(4), pages 480-499, July.
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Cited by:
  1. Badi H. Baltagi & Long Liu, 2012. "Testing for Spatial Lag and Spatial Error Dependence Using Double Length Artificial Regressions," Center for Policy Research Working Papers 147, Center for Policy Research, Maxwell School, Syracuse University.

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