Robust Test for Spatial Error Model:Considering Changes of Spatial Layouts and Distribution Misspecification
AbstractThis paper suggests a robust LM (Lagrange Multiplier) test for spatial error model which not only reduces the influence of spatial lag dependence immensely, but also presents robust to changes of spatial layouts and distribution misspecification. Monte Carlo simulation results imply that existing LM tests have serious size and power distortion with the presence of spatial lag dependence, group interaction or non-normal distribution, but the robust LM test of this paper shows well performance.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 38050.
Date of creation: Nov 2011
Date of revision: Apr 2012
LM test; Spatial Layouts; Distribution Misspecification; Robustness;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-17 (All new papers)
- NEP-ECM-2012-04-17 (Econometrics)
- NEP-GEO-2012-04-17 (Economic Geography)
- NEP-URE-2012-04-17 (Urban & Real Estate Economics)
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Center for Policy Research Working Papers
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