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Testing the hypothesis of stability in spatial econometric models

Author

Listed:
  • Mur, Jesús
  • López, Fernando
  • Angulo, Ana

Abstract

The objective of this paper is to advance in the discussion of the topic of heterogeneity in a spatial econometric model. The proposal is not a novelty as there is a great deal of experience accumulated on the same subject. What differentiates this work is that we use a broad notion of the term heterogeneity, in association with different symptoms of stability in the elements of the equation. That is, we deal with problems (i) in the coefficients of regression, (ii) in the variance of the random term and (iii) in the mechanisms of spatial dependence. With this purpose, we develop several tests through which we tackle the problem of heterogeneity from various perspectives. We assess their performance through a Monte Carlo experiment.

Suggested Citation

Handle: RePEc:eee:paresc:v:88:y:2009:i:2:p:409-445
DOI: 10.1111/j.1435-5957.2009.00224.x
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JEL classification:

  • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
  • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
  • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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