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Artificial regression test diagnostics for impact measures in spatial models

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  • Deng, Mingyu
  • Wang, Mingxi

Abstract

This paper derives two test statistics based on Outer-Product Gradient method and Double-Length Regression for testing spatial impact measures. Both are computationally simple. Their Monte Carlo performance becomes better as the sample size gets larger.

Suggested Citation

  • Deng, Mingyu & Wang, Mingxi, 2022. "Artificial regression test diagnostics for impact measures in spatial models," Economics Letters, Elsevier, vol. 217(C).
    • Handle: RePEc:eee:ecolet:v:217:y:2022:i:c:s0165176522002336
    DOI: 10.1016/j.econlet.2022.110689
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    References listed on IDEAS

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    4. Badi Baltagi & Long Liu, 2014. "Testing for spatial lag and spatial error dependence using double length artificial regressions," Statistical Papers, Springer, vol. 55(2), pages 477-486, May.
    5. Benjamin Born & Jörg Breitung, 2011. "Simple regression‐based tests for spatial dependence," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 330-342, July.
    6. Giuseppe Arbia & Anil K. Bera & Osman Doğan & Süleyman Taşpınar, 2020. "Testing Impact Measures in Spatial Autoregressive Models," International Regional Science Review, , vol. 43(1-2), pages 40-75, January.
    7. He, Ming & Lin, Kuan-Pin, 2015. "Testing spatial effects and random effects in a nested panel data model," Economics Letters, Elsevier, vol. 135(C), pages 85-91.
    8. Suwanprasert, Wisarut, 2022. "The international spillover effects of US trade policy uncertainty," Economics Letters, Elsevier, vol. 212(C).
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    More about this item

    Keywords

    Spatial impact measure; Artificial regression; Double-Length Regression; Outer-Product Gradient;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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