Advanced Search
MyIDEAS: Login to save this article or follow this journal

A wald Test for Spatial Nonstationarity

Contents:

Author Info

  • 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.)

Abstract

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.

Download Info

If 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.
File URL: http://www.revista-eea.net
Download Restriction: Access to full text is restricted to subscribers.

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 Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 22 (2004)
Issue (Month): (Diciembre)
Pages: 1-12

as in new window
Handle: RePEc:lrk:eeaart:22_3_5

Contact details of provider:
Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
Phone: (34) 983 423320
Fax: (34) 983 184568
Web page: http://www.revista-eea.net
More information through EDIRC

Order Information:
Email:
Web: http://www.revista-eea.net

Related research

Keywords: Spatial nonstationarity; spurious regression; Wald tests; Lagrange multiplier tests.;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Lauridsen, Jørgen & Kosfeld, Reinhold, 2004. "Dynamic Spatial Modelling of Regional Convergence Processes," HWWA Discussion Papers 261, Hamburg Institute of International Economics (HWWA).
  2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
  3. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
  4. Francis X. Diebold & Marc Nerlove, 1988. "Unit roots in economic time series: a selective survey," Finance and Economics Discussion Series 49, Board of Governors of the Federal Reserve System (U.S.).
  5. Jørgen Lauridsen, 2006. "Spatial autoregressively distributed lag models: equivalent forms, estimation, and an illustrative commuting model," The Annals of Regional Science, Springer, vol. 40(2), pages 297-311, June.
  6. Granger, C.W.J. & Watson, Mark W., 1984. "Time series and spectral methods in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 17, pages 979-1022 Elsevier.
  7. Jorgen Lauridsen & Reinhold Kosfeld, 2003. "A Test Strategy for Spurious Spatial Regression, Spatial Nonstationarity, and Spatial Cointegration," ERSA conference papers ersa03p42, European Regional Science Association.
  8. Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, vol. 33(2), pages 143-156.
  9. 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.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Andrea Vaona, 2010. "Spatial autocorrelation and the sensitivity of RESET: a simulation study," Journal of Geographical Systems, Springer, vol. 12(1), pages 89-103, March.
  2. Badi H. Baltagi & Bernard Fingleton & Alain Pirotte, 2013. "Spatial Lag Models with Nested Random Effects: An Instrumental Variable Procedure with an Application to English House Prices," Center for Policy Research Working Papers 161, Center for Policy Research, Maxwell School, Syracuse University.
  3. Jørgen Lauridsen & Reinhold Kosfeld, 2007. "Spatial cointegration and heteroscedasticity," Journal of Geographical Systems, Springer, vol. 9(3), pages 253-265, September.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:22_3_5. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Rodríguez Prado).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.