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Spatial lag test with equal weights

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  • Baltagi, Badi H.
  • Liu, Long

Abstract

This note shows that for a spatial regression with equal weights, the LM test is always equal to NÂ /Â 2(NÂ -Â 1), where N is the sample size. This means that this test statistics is a function of N and not a function of the spatial parameter [rho]. In fact, this test statistic tends to one half for N tending to infinity. The null hypothesis of no spatial correlation is never rejected no matter what [rho] is.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 104 (2009)
Issue (Month): 2 (August)
Pages: 81-82

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Handle: RePEc:eee:ecolet:v:104:y:2009:i:2:p:81-82

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Keywords: Spatial error correlation Equal weights Lagrange multiplier;

References

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  1. Baltagi, Badi H., 2006. "Random Effects And Spatial Autocorrelation With Equal Weights," Econometric Theory, Cambridge University Press, vol. 22(05), pages 973-984, October.
  2. Kelejian, Harry H. & Prucha, Ingmar R., 2002. "2SLS and OLS in a spatial autoregressive model with equal spatial weights," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 32(6), pages 691-707, November.
  3. Harry H. Kelejian & Ingmar R. Prucha & Yevgeny Yuzefovich, 2006. "Estimation Problems In Models With Spatial Weighting Matrices Which Have Blocks Of Equal Elements," Journal of Regional Science, Wiley Blackwell, Wiley Blackwell, vol. 46(3), pages 507-515.
  4. Lung-Fei Lee, 2004. "Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 72(6), pages 1899-1925, November.
  5. Case, Anne, 1992. "Neighborhood influence and technological change," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 22(3), pages 491-508, September.
  6. Lee, Lung-Fei, 2002. "Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 252-277, April.
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Cited by:
  1. Baltagi, Badi H. & Liu, Long, 2010. "Spurious spatial regression with equal weights," Statistics & Probability Letters, Elsevier, Elsevier, vol. 80(21-22), pages 1640-1642, November.
  2. Le Gallo, Julie & Fingleton, Bernard, 2012. "Measurement errors in a spatial context," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 42(1-2), pages 114-125.

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