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.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 14 (2011)
Issue (Month): 2 (07)
|Contact details of provider:|| Postal: Office of the Secretary-General, Rm E35, The Bute Building, Westburn Lane, St Andrews, KY16 9TS, UK|
Phone: +44 1334 462479
Web page: http://www.res.org.uk/
More information through EDIRC
|Order Information:||Web: http://www.ectj.org|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Russell Davidson & James G. MacKinnon, 1981.
"Model Specification Tests Based on Artificial Linear Regressions,"
426, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1984. "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June.
- Russell Davidson & James G. MacKinnon, 1980. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 390, Queen's University, Department of Economics.
- Russell Davidson & James G. MacKinnon, 1999.
978, Queen's University, Department of Economics.
- Harry H. Kelejian & Ingmar R. Prucha, 1999.
"On the Asymptotic Distribution of the Moran I Test Statistic with Applications,"
Electronic Working Papers
99-002, University of Maryland, Department of Economics.
- 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.
- Harry H. Kelejian & Ingmar R. Prucha, 1995.
"A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model,"
Electronic Working Papers
95-001, University of Maryland, Department of Economics, revised Mar 1997.
- Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
- Anselin, Luc, 2007. "Spatial econometrics in RSUE: Retrospect and prospect," Regional Science and Urban Economics, Elsevier, vol. 37(4), pages 450-456, July.
- Kelejian, Harry H. & Robinson, Dennis P., 1998. "A suggested test for spatial autocorrelation and/or heteroskedasticity and corresponding Monte Carlo results," Regional Science and Urban Economics, Elsevier, vol. 28(4), pages 389-417, 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ect:emjrnl:v:14:y:2011:i:2:p:330-342. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.