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Monte Carlo properties of spatial dependence LM tests

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  • Pablo Acosta
  • Enlinson de Mattos
  • Ana Fava

Abstract

This paper compares the power and size of both spatial one-directional and robust to local misspecification LM test using Monte Carlo techniques under different set ups. Confirming the results found in Anselin et al. (1996), under local misspecification the robust LM test improves its size and power of tests. However, under no misspecification, the robust LM test is severely penalized and the usual one-directional LM test has a much better performance.

Suggested Citation

  • Pablo Acosta & Enlinson de Mattos & Ana Fava, 2006. "Monte Carlo properties of spatial dependence LM tests," Applied Economics Letters, Taylor & Francis Journals, vol. 13(14), pages 905-910.
    • Handle: RePEc:taf:apeclt:v:13:y:2006:i:14:p:905-910
    DOI: 10.1080/13504850500426111
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    References listed on IDEAS

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    1. Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
    2. Bera, Anil K. & Yoon, Mann J., 1993. "Specification Testing with Locally Misspecified Alternatives," Econometric Theory, Cambridge University Press, vol. 9(4), pages 649-658, August.
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    1. Gyubeom Park & Kichan Yoon & Munjae Lee, 2021. "Regional Factors Influencing Non-Take-Up for Social Support in Korea Using a Spatial Regression Model," SAGE Open, , vol. 11(4), pages 21582440211, December.

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