Testing for Spatial Error Dependence in Probit Models
AbstractIn this note, we compare three test statistics that have been suggested to assess the presence of spatial error autocorrelation in probit models. We highlight the formal differences between the tests proposed by Pinkse and Slade (1998), Pinkse (1999, 2004) and Kelejian and Prucha (2001), and compare their properties in a extensive set of Monte Carlo simulation experiments both under the null and under the alternative. We also assess the conjecture by Pinkse (1999) that the usefulness of these test statistics is limited when the explanatory variables are spatially correlated. The Kelejian and Prucha (2001) generalized Moranâ€™s I statistic turns out to perform best, even in medium sized samples of several hundreds of obser- vations. The other two tests are acceptable in very large samples.
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Bibliographic InfoPaper provided by GeoDa Center for Geospatial Analysis and Computation in its series GeoDa Center Working Papers with number 1051.
Date of creation: 2012
Date of revision:
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Postal: School of Geographical Sciences and Urban Planning Arizona State University P.O. Box 875302 Tempe, AZ 85287-5302
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Other versions of this item:
- Pedro Amaral & Luc Anselin & Daniel Arribas-Bel, 2013. "Testing for spatial error dependence in probit models," Letters in Spatial and Resource Sciences, Springer, vol. 6(2), pages 91-101, July.
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-13 (All new papers)
- NEP-ECM-2012-06-13 (Econometrics)
- NEP-ETS-2012-06-13 (Econometric Time Series)
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.:
- P. Amaral & L. Anselin, 2011. "Finite Sample Properties of Moran's I Test for Spatial Autocorrelation in Probit and Tobit Models - Empirical Evidence," GeoDa Center Working Papers 1048, GeoDa Center for Geospatial Analysis and Computation.
- 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.
- 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.
- Daniel Arribas-Bel & Julia Koschinsky & Pedro Amaral, 2012.
"Improving the multi-dimensional comparison of simulation results: a spatial visualization approach,"
Letters in Spatial and Resource Sciences,
Springer, vol. 5(2), pages 55-63, July.
- Daniel Arribas-Bel & Julia Koschinsky & Pedro Amaral, 2011. "Improving the Multi-Dimensional Comparison of Simulation Results: A Spatial Visualization Approach," GeoDa Center Working Papers 1046, GeoDa Center for Geospatial Analysis and Computation.
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