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A note on testing for spatial error components

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  • Carriazo, Fernando
  • Coulson, Edward

Abstract

The two tests for spatial error components are the Kelejian-Robinson (KR) test and the LM test developed by Anselin (2001). We develop a new form for the LM test which facilitates comparisons to the KR test, and show why the LM test is superior. We develop a second test in the spirit of KR which overcomes this particular shortcoming, but in fact incurs a second shortcoming which renders it inferior even to the original KR test. We discuss this failure as well.

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File URL: http://www.sciencedirect.com/science/article/B6V89-4X2JSSY-2/2/e210d9bbf3715ac43d0658ff463573f0
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Bibliographic Info

Article provided by Elsevier in its journal Regional Science and Urban Economics.

Volume (Year): 40 (2010)
Issue (Month): 5 (September)
Pages: 331-335

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Handle: RePEc:eee:regeco:v:40:y:2010:i:5:p:331-335

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Related research

Keywords: Spatial error components LM test Kelejian-Robinson test;

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  1. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 239-53, January.
  2. Luc Anselin & Rosina Moreno, 2001. "Properties of tests for spatial error components," ERSA conference papers ersa01p183, European Regional Science Association.
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