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Monte Carlo properties of spatial dependence LM tests

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Author Info
Pablo Acosta
Enlinson de Mattos
Ana Fava

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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.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 13 (2006)
Issue (Month): 14 (November)
Pages: 905-910
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Handle: RePEc:taf:apeclt:v:13:y:2006:i:14:p:905-910

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  1. repec:cup:etheor:v:9:y:1993:i:4:p:649-58 is not listed on IDEAS
  2. 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. [Downloadable!] (restricted)
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