LM tests for spatial correlation in spatial models with limited dependent variables
AbstractModels of limited dependent variables are of great interest in econometrics. This paper focuses on the specification and hypothesis test of spatial models which have a Tobit structure. We derive an extended central limit theorem for statistics of a linear–quadratic form with multivariate random variables. We consider the LM statistics for testing spatial correlation and establish their asymptotic distributions. The tests are applied to an empirical example: we detect the presence of competition among school districts on school district income tax in Iowa.
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 Elsevier in its journal Regional Science and Urban Economics.
Volume (Year): 42 (2012)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/regec
Spatial econometric models; LM tests; Limited dependent variables;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- R50 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis - - - General
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.:
- Dayton M. Lambert & Jason P. Brown & Raymond J.G.M. Florax, 2010.
"A Two-Step Estimator For A Spatial Lag Model Of Counts: Theory, Small Sample Performance And An Application,"
10-5, Purdue University, College of Agriculture, Department of Agricultural Economics.
- Lambert, Dayton M. & Brown, Jason P. & Florax, Raymond J.G.M., 2010. "A two-step estimator for a spatial lag model of counts: Theory, small sample performance and an application," Regional Science and Urban Economics, Elsevier, vol. 40(4), pages 241-252, July.
- Olsen, Randall J, 1978. "Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model," Econometrica, Econometric Society, vol. 46(5), pages 1211-15, September.
- Bhat, Chandra R. & Sener, Ipek N. & Eluru, Naveen, 2010. "A flexible spatially dependent discrete choice model: Formulation and application to teenagers' weekday recreational activity participation," Transportation Research Part B: Methodological, Elsevier, vol. 44(8-9), pages 903-921, September.
- D'Haultfoeuille, Xavier & Davezies, Laurent & Fougère, Denis, 2006.
"Identification of Peer Effects Using Group Size Variation,"
CEPR Discussion Papers
5865, C.E.P.R. Discussion Papers.
- Laurent Davezies & Xavier D'Haultfoeuille & Denis Fougère, 2009. "Identification of peer effects using group size variation," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 397-413, November.
- Davezies, Laurent & d'Haultfoeuille, Xavier & Fougère, Denis, 2006. "Identification of Peer Effects Using Group Size Variation," IZA Discussion Papers 2324, Institute for the Study of Labor (IZA).
- Laurent Davezies & Xavier d'Haultfoeuille & Denis Fougère, 2007. "Identification of Peer Using Group Size Variation," Working Papers 2007-34, Centre de Recherche en Economie et Statistique.
- Amemiya, Takeshi, 1974. "Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal," Econometrica, Econometric Society, vol. 42(6), pages 999-1012, November.
- Amemiya, Takeshi, 1973. "Regression Analysis when the Dependent Variable is Truncated Normal," Econometrica, Econometric Society, vol. 41(6), pages 997-1016, November.
- Joris Pinkse & Margaret E. Slade, 2010. "The Future Of Spatial Econometrics," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 103-117.
- Smirnov, Oleg A., 2010. "Modeling spatial discrete choice," Regional Science and Urban Economics, Elsevier, vol. 40(5), pages 292-298, September.
- Lung-fei Lee & Xiaodong Liu & Xu Lin, 2010. "Specification and estimation of social interaction models with network structures," Econometrics Journal, Royal Economic Society, vol. 13(2), pages 145-176, 07.
- Jong, Robert & Herrera, Ana MarÃa, 2011. "Dynamic Censored Regression and the Open Market Desk Reaction Function," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 228-237.
- Langyintuo, Augustine S. & Mekuria, Mulugetta, 2008. "Assessing the influence of neighborhood effects on the adoption of improved agricultural technologies in developing agriculture," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 2(2), September.
- Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
- Corinne Autant‐Bernard & James P. LeSage, 2011. "Quantifying Knowledge Spillovers Using Spatial Econometric Models," Journal of Regional Science, Wiley Blackwell, vol. 51(3), pages 471-496, 08.
- Brock,W.A. & Durlauf,S.N., 2000.
"Discrete choice with social interactions,"
7, Wisconsin Madison - Social Systems.
- H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
- Lee, Lung-fei, 2007. "Identification and estimation of econometric models with group interactions, contextual factors and fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 333-374, October.
- Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July.
- He, Ming & Lin, Kuan-Pin, 2013. "Locally adjusted LM test for spatial dependence in fixed effects panel data models," Economics Letters, Elsevier, vol. 121(1), pages 59-63.
- Qu, Xi & Lee, Lung-fei, 2013. "Locally most powerful tests for spatial interactions in the simultaneous SAR Tobit model," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 307-321.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.