Spatial lag test with equal weights
This note shows that for a spatial regression with equal weights, the LM test is always equal to NÂ /Â 2(NÂ -Â 1), where N is the sample size. This means that this test statistics is a function of N and not a function of the spatial parameter [rho]. In fact, this test statistic tends to one half for N tending to infinity. The null hypothesis of no spatial correlation is never rejected no matter what [rho] is.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Kelejian, Harry H. & Prucha, Ingmar R., 2002. "2SLS and OLS in a spatial autoregressive model with equal spatial weights," Regional Science and Urban Economics, Elsevier, vol. 32(6), pages 691-707, November.
- Baltagi, Badi H., 2006.
"Random Effects And Spatial Autocorrelation With Equal Weights,"
Cambridge University Press, vol. 22(05), pages 973-984, October.
- Badi H. Baltagi, 2006. "Random effects and Spatial Autocorrelations with Equal Weights," Center for Policy Research Working Papers 89, Center for Policy Research, Maxwell School, Syracuse University.
- Case, Anne, 1992. "Neighborhood influence and technological change," Regional Science and Urban Economics, Elsevier, vol. 22(3), pages 491-508, September.
- Harry H. Kelejian & Ingmar R. Prucha & Yevgeny Yuzefovich, 2006. "Estimation Problems In Models With Spatial Weighting Matrices Which Have Blocks Of Equal Elements," Journal of Regional Science, Wiley Blackwell, vol. 46(3), pages 507-515.
- Lee, Lung-Fei, 2002. "Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 252-277, April.
- Lung-Fei Lee, 2004. "Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models," Econometrica, Econometric Society, vol. 72(6), pages 1899-1925, November.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:104:y:2009:i:2:p:81-82. 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: (Shamier, Wendy)
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.