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Testing for breaks in the weighting matrix

Author

Listed:
  • Ana Angulo

    (University of Zaragoza)

  • Peter Burridge

    (University of York)

  • Jes�s Mur

    (University of Zaragoza)

Abstract

The weighting matrix is a key element in the specification of a spatial model. Typically, this matrix is fixed a priori by the researcher, which is not always satisfactory. Theoretical justification for the chosen matrix tends to be very vague, and the selection problem is seldom reconsidered. However, several recent proposals advocate a more data-driven approach. In fact, if we have panel data, the weighting matrix can be estimated from the data; this facilitates the development of statistical procedures for testing various hypotheses of interest. In the paper, we focus on the assumption of stability, through time, of this matrix by adapting a collection of covariance matrix stability tests, developed in a multivariate context. The tests are compared in a Monte Carlo; two examples illustrate the proposal.

Suggested Citation

  • Ana Angulo & Peter Burridge & Jes�s Mur, 2017. "Testing for breaks in the weighting matrix," Documentos de Trabajo dt2017-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2017-01
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    Cited by:

    1. Ana Angulo & Peter Burridge & Jesus Mur, 2017. "Testing for a structural break in the weight matrix of the spatial error or spatial lag model," Spatial Economic Analysis, Taylor & Francis Journals, vol. 12(2-3), pages 161-181, July.
    2. Elżbieta Antczak, 2018. "Building W Matrices Using Selected Geostatistical Tools: Empirical Examination and Application," Stats, MDPI, vol. 1(1), pages 1-22, September.
    3. Takahiro Yoshida & Morito Tsutsumi, 2018. "On the effects of spatial relationships in spatial compositional multivariate models," Letters in Spatial and Resource Sciences, Springer, vol. 11(1), pages 57-70, March.
    4. Fernando López Hernández, 2021. "In memoriam of Professor Jesús Mur (1961–2020)," Journal of Spatial Econometrics, Springer, vol. 2(1), pages 1-5, December.

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    More about this item

    Keywords

    Weights matrix; Estimation of W; Structural breaks; Tests of equality;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • R1 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics

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