Testing for Spatial Lag and Spatial Error Dependence Using Double Length Artificial Regressions
AbstractThis paper obtains the joint and conditional Lagrange Multiplier tests for a spatial lag regression model with spatial auto-regressive error derived in Anselin et al. (1996) using artificial Double Length Regressions (DLR). These DLR tests and their corresponding LM tests are compared using an illustrative example and a Monte Carlo simulation. Key Words: Double Length Regression; Spatial Lag Dependence; Spatial Error Dependence; Artificial Regressions JEL No. C12, C21, R15
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Bibliographic InfoPaper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 147.
Length: 9 pages
Date of creation: Oct 2012
Date of revision:
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Other versions of this item:
- Badi Baltagi & Long Liu, 2014. "Testing for spatial lag and spatial error dependence using double length artificial regressions," Statistical Papers, Springer, vol. 55(2), pages 477-486, May.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-01-07 (All new papers)
- NEP-ECM-2013-01-07 (Econometrics)
- NEP-URE-2013-01-07 (Urban & Real Estate Economics)
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.:
- Badi H. BALTAGI, 1999. "Specification Tests in Panel Data Models Using Artificial Regressions," Annales d'Economie et de Statistique, ENSAE, issue 55-56, pages 277-297.
- Russell Davidson & James G. MacKinnon, 1981.
"Model Specification Tests Based on Artificial Linear Regressions,"
426, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1984. "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June.
- Russell Davidson & James G. MacKinnon, 1980. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 390, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1988.
"Double Length Artificial Regressions,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 50(2), pages 203-17, May.
- 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.
- Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 31-40.
- 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.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, October.
- Le, Canh Quang & Li, Dong, 2008. "Double-Length Regression tests for testing functional forms and spatial error dependence," Economics Letters, Elsevier, vol. 101(3), pages 253-257, December.
- Baltagi, Badi H. & Li, Dong, 2000. "Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation," Economics Letters, Elsevier, vol. 69(1), pages 9-14, October.
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