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A test strategy for spurious spatial regression, spatial nonstationarity, and spatial cointegration

  • Jørgen Lauridsen
  • Reinhold Kosfeld

A test strategy consisting of a two-step Lagrange Multiplier test is suggested as a device to reveal spatial nonstationarity and spurious spatial regression. 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. Copyright (c) 2006 the author(s). Journal compilation (c) 2006 RSAI.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1435-5957.2006.00087.x
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Article provided by Wiley Blackwell in its journal Papers in Regional Science.

Volume (Year): 85 (2006)
Issue (Month): 3 (08)
Pages: 363-377

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Handle: RePEc:bla:presci:v:85:y:2006:i:3:p:363-377
Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=1056-8190

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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, vol. 40(2), pages 297-311, June.
  2. Mur, Jesus, 2002. "On the specification of spatial econometric models," ERSA conference papers ersa02p012, European Regional Science Association.
  3. Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, vol. 33(2), pages 143-156.
  4. Jorgen Lauridsen & Birgit Nahrstedt, 1998. "Spatial patterns in intermunicipal Danish commuting," ERSA conference papers ersa98p441, European Regional Science Association.
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