Simple regression‐based tests for spatial dependence
We propose two simple diagnostic tests for spatial error autocorrelation and spatial lag dependence. The idea is to reformulate the testing problem such that the test statistics are asymptotically equivalent to the familiar LM test statistics. Speci cally, our version of the test is based on a simple auxiliary regression and an ordinary regression t-statistic can be used to test for spatial autocorrelation and lag dependence. We also propose a variant of the test that is robust to heteroskedasticity. This approach gives practitioners an easy to implement and robust alternative to existing tests. Monte Carlo studies show that our variants of the spatial LM tests possess comparable size and power properties even in small samples.
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Volume (Year): 14 (2011)
Issue (Month): 2 (07)
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- Russell Davidson & James G. MacKinnon, 1980.
"Model Specification Tests Based on Artificial Linear Regressions,"
390, Queen's University, Department of Economics.
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- Russell Davidson & James G. MacKinnon, 1981. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 426, Queen's University, Department of Economics.
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- Davidson, R. & MacKinnon & J.G., 1999.
99a04, Universite Aix-Marseille III.
- Anselin, Luc, 2007. "Spatial econometrics in RSUE: Retrospect and prospect," Regional Science and Urban Economics, Elsevier, vol. 37(4), pages 450-456, July.
- Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 31-40.
- H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
- Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
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