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

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Jorgen Lauridsen ()
Reinhold Kosfeld ()

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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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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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  1. Mur, Jesus, 2002. "On the specification of spatial econometric models," ERSA conference papers ersa02p012, European Regional Science Association. [Downloadable!]
  2. Sergio J. Rey, Brett D. Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor and Francis Journals, vol. 33(2), pages 143-156, April. [Downloadable!] (restricted)
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  1. Kosfeld, Reinhold & Lauridsen, Jorgen, 2004. "Dynamic Spatial Modelling of Regional Convergence Processes," Discussion Paper Series 26211, Hamburg Institute of International Economics. [Downloadable!]
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