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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.

Suggested Citation

  • Jorgen Lauridsen & Reinhold Kosfeld, 2003. "A Test Strategy for Spurious Spatial Regression, Spatial Nonstationarity, and Spatial Cointegration," ERSA conference papers ersa03p42, European Regional Science Association.
    • Handle: RePEc:wiw:wiwrsa:ersa03p42
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    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Jørgen Lauridsen, 2006. "Spatial autoregressively distributed lag models: equivalent forms, estimation, and an illustrative commuting model," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 40(2), pages 297-311, June.
    3. Daniel A. Griffith, 1992. "Simplifying The Normalizing Factor In Spatial Autoregressions For Irregular Lattices," Papers in Regional Science, Wiley Blackwell, vol. 71(1), pages 71-86, January.
    4. Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, vol. 33(2), pages 143-156.
    5. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
    6. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
    7. Jorgen Lauridsen & Birgit Nahrstedt, 1998. "Spatial patterns in intermunicipal Danish commuting," ERSA conference papers ersa98p441, European Regional Science Association.
    8. Daniel A. Griffith, 2003. "Spatial Autocorrelation and Spatial Filtering," Advances in Spatial Science, Springer, number 978-3-540-24806-4, Fall.
    9. Mur, Jesus, 2002. "On the specification of spatial econometric models," ERSA conference papers ersa02p012, European Regional Science Association.
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    Cited by:

    1. Filiz Yesilyurt & J. Elhorst, 2014. "A regional analysis of inflation dynamics in Turkey," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 52(1), pages 1-17, January.
    2. Baltagi, Badi H. & Fingleton, Bernard & Pirotte, Alain, 2014. "Spatial lag models with nested random effects: An instrumental variable procedure with an application to English house prices," Journal of Urban Economics, Elsevier, vol. 80(C), pages 76-86.
    3. repec:asg:wpaper:1013 is not listed on IDEAS
    4. Reinhold Kosfeld & Jorgen Lauridsen, 2009. "Dynamic spatial modelling of regional convergence processes," Studies in Empirical Economics, in: Giuseppe Arbia & Badi H. Baltagi (ed.), Spatial Econometrics, pages 245-261, Springer.
    5. Badi H. Baltagi & Chihwa Kao & Long Liu, 2013. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(3), pages 241-270, September.
    6. Lauridsen, J. & Kosfeld, R., 2004. "A wald Test for Spatial Nonstationarity," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 22, pages 1-12, Diciembre.
    7. Luc Anselin, 2010. "Thirty years of spatial econometrics," Papers in Regional Science, Wiley Blackwell, vol. 89(1), pages 3-25, March.
    8. Anna Gloria Billé & Roberto Benedetti & Paolo Postiglione, 2017. "A two-step approach to account for unobserved spatial heterogeneity," Spatial Economic Analysis, Taylor & Francis Journals, vol. 12(4), pages 452-471, October.
    9. 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, vol. 14(1), pages 91-124, January.
    10. Andrea Vaona, 2010. "Spatial autocorrelation and the sensitivity of RESET: a simulation study," Journal of Geographical Systems, Springer, vol. 12(1), pages 89-103, March.
    11. Alicja Olejnik, 2008. "Using the spatial autoregressively distributed lag model in assessing the regional convergence of per‐capita income in the EU25," Papers in Regional Science, Wiley Blackwell, vol. 87(3), pages 371-384, August.
    12. Jørgen Lauridsen & Reinhold Kosfeld, 2007. "Spatial cointegration and heteroscedasticity," Journal of Geographical Systems, Springer, vol. 9(3), pages 253-265, September.

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