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A Test Strategy for Spurious Spatial Regression, Spatial Nonstationarity, and Spatial Cointegration

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  • Jorgen Lauridsen

    ()

  • Reinhold Kosfeld

    ()

Abstract

A test strategy consisting of a twofold application of a Lagrange Multiplier test is suggested as a device to reveal spatial nonstationarity and spurious spatial regeression. It is further illustrated how the test strategy can be used as a diagnostic for presence of a spatial cointegrating relationship between two variables. Using Monte Carlo simulations it is shown that the small sample behaviour of the test strategy is as desired in these cases.

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File URL: http://www-sre.wu-wien.ac.at/ersa/ersaconfs/ersa03/cdrom/papers/42.pdf
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Bibliographic Info

Paper provided by European Regional Science Association in its series ERSA conference papers with number ersa03p42.

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Date of creation: Aug 2003
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Handle: RePEc:wiw:wiwrsa:ersa03p42

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References

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  1. Jørgen Lauridsen, 2006. "Spatial autoregressively distributed lag models: equivalent forms, estimation, and an illustrative commuting model," The Annals of Regional Science, Springer, Springer, vol. 40(2), pages 297-311, June.
  2. Mur, Jesus, 2002. "On the specification of spatial econometric models," ERSA conference papers, European Regional Science Association ersa02p012, European Regional Science Association.
  3. Jorgen Lauridsen & Birgit Nahrstedt, 1998. "Spatial patterns in intermunicipal Danish commuting," ERSA conference papers, European Regional Science Association ersa98p441, European Regional Science Association.
  4. Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 33(2), pages 143-156.
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Cited by:
  1. Badi H. Baltagi & Bernard Fingleton & Alain Pirotte, 2013. "Spatial Lag Models with Nested Random Effects: An Instrumental Variable Procedure with an Application to English House Prices," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 161, Center for Policy Research, Maxwell School, Syracuse University.
  2. Lauridsen, J. & Kosfeld, R., 2004. "A wald Test for Spatial Nonstationarity," Estudios de Economía Aplicada, Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 1-12, Diciembre.
  3. Badi H. Baltagi & Chihwa Kao & Long Liu, 2012. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 150, Center for Policy Research, Maxwell School, Syracuse University.
  4. repec:asg:wpaper:1013 is not listed on IDEAS
  5. Reinhold Kosfeld & Jorgen Lauridsen, 2004. "Dynamic spatial modelling of regional convergence processes," Empirical Economics, Springer, Springer, vol. 29(4), pages 705-722, December.
  6. Jørgen Lauridsen & Reinhold Kosfeld, 2007. "Spatial cointegration and heteroscedasticity," Journal of Geographical Systems, Springer, Springer, vol. 9(3), pages 253-265, September.
  7. Andrea Vaona, 2010. "Spatial autocorrelation and the sensitivity of RESET: a simulation study," Journal of Geographical Systems, Springer, Springer, vol. 12(1), pages 89-103, March.
  8. Tony Smith & Ka Lee, 2012. "The effects of spatial autoregressive dependencies on inference in ordinary least squares: a geometric approach," Journal of Geographical Systems, Springer, Springer, vol. 14(1), pages 91-124, January.
  9. Filiz Yesilyurt & J. Elhorst, 2014. "A regional analysis of inflation dynamics in Turkey," The Annals of Regional Science, Springer, Springer, vol. 52(1), pages 1-17, January.

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