LAURIDSEN, J. () (Corresponding author: Associate Professor. The Econometric Group, Department of Economics, University of Southern Denmark, Campusvej 55, DK-5230 Odense M, Denmark. Fax: 45 6595 7766) KOSFELD, R. () (Professor, Department of Economics, University of Kassel, D-34109 Kassel, Germany.)
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A test strategy consisting of a two-step Lagrange multiplier test was recently suggested as a device to reveal spatial nonstationarity, spurious spatial regression and presence of a spatial cointegrating relationship between two variables. Due to the well known radicality of such pre-tests in finite samples, the present paper suggests a Wald post-test, based on maximum likelihood estimation. The finite-sample distribution of the test under nonstationarity is derived using Monte Carlo simulation and applied to an empirical example. Se ha propuesto recientemente una estrategia de contraste basada en el Multiplicador de Lagrange en dos etapas para analizar no estacionariedad espacial, regresión espacial espurea y la presencia de relaciones de cointegración en el caso bivariante. Como es conocido, estos métodos condicionados tienen problemas en muestras finitas por lo que en el trabajo se presenta un contraste de Wald, basado en la estimación de máxima verosimilitud. En el trabajo se obtiene la distribución en muestra finita del contraste bajo la hipótesis de no estacionariedad mediante simulaciones de Monte Carlo, y se aplica a un ejemplo concreto. La distribución obtenida para el contraste de Wald parece tener unas colas más densas que la distribución tradicional, chi-cuadrado con un grado de libertad.
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Volume (Year): 22 (2004) Issue (Month): (Diciembre) Pages: 1-12 Download reference. The following formats are available: HTML
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Find related papers by JEL classification: C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation J60 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - General
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Hendry, David F. & Pagan, Adrian R. & Sargan, J.Denis, 1984.
"Dynamic specification,"
Handbook of Econometrics,
in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 18, pages 1023-1100
Elsevier.
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