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Model selection strategies in a spatial setting: Some additional results

  • Mur, Jesús
  • Angulo, Ana

This paper continues from the discussion of Florax et al. (Florax, R., H. Folmer and S. Rey, 2003. Specification searches in spatial econometrics: the relevance of Hendry's methodology. Regional Science and Urban Economics, 33, 557-579.), regarding the properties of various specification strategies for spatial econometric models. Habitual practise has popularised a technique based on the well-known Lagrange Multipliers, characterized as a Specific-to-General approach, and which seems to give good results. In our work, we contemplate other alternatives, some of which may be seen as slight variations of this proposal, including the selection tests of Vuong (Vuong, Q., 1989. Likelihood ratio-tests for model selection and non-nested hypotheses. Econometrica, 57, 307-333.) and of Clarke (Clarke, K., 2003. Nonparametric model discrimination in international relations. Journal of Conflict Resolutions, 47, 72-93.). We also examine an approach of the General-to-Specific type, as clearly opposite to the others. The comparison of the two strategies is carried out through a Monte Carlo experiment, the results of which are quite diffuse, in the sense that we do not find conclusive evidence in favour of either of these two approaches. However, it should be recognized that the General-to-Specific strategy seems to be more robust to the existence of anomalies in the Data Generating Process.

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Article provided by Elsevier in its journal Regional Science and Urban Economics.

Volume (Year): 39 (2009)
Issue (Month): 2 (March)
Pages: 200-213

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Handle: RePEc:eee:regeco:v:39:y:2009:i:2:p:200-213
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  8. Lutkepohl, Helmut, 2007. "General-to-specific or specific-to-general modelling? An opinion on current econometric terminology," Journal of Econometrics, Elsevier, vol. 136(1), pages 319-324, January.
  9. L W Hepple, 1995. "Bayesian techniques in spatial and network econometrics: 2. Computational methods and algorithms," Environment and Planning A, Pion Ltd, London, vol. 27(4), pages 615-644, April.
  10. Kevin Hoover & Harris Dellas, 2003. "Truth and Robustness in Cross-country Growth Regressions," Working Papers 11, University of California, Davis, Department of Economics.
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  12. David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika van der Linde, 2002. "Bayesian measures of model complexity and fit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639.
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  14. Raymond J.G.M. Florax & Hendrik Folmer & Sergio J. Rey, 2002. "Specification Searches in Spatial Econometrics: The Relevance of Hendry's Methodology," Urban/Regional 0202001, EconWPA.
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  17. L W Hepple, 1995. "Bayesian techniques in spatial and network econometrics: 1. Model comparison and posterior odds," Environment and Planning A, Pion Ltd, London, vol. 27(3), pages 447-469, March.
  18. Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
  19. Danilov, Dmitry & Magnus, J.R.Jan R., 2004. "On the harm that ignoring pretesting can cause," Journal of Econometrics, Elsevier, vol. 122(1), pages 27-46, September.
  20. Florax, Raymond J.G.M. & Folmer, Hendrik & Rey, Sergio J., 2006. "A comment on specification searches in spatial econometrics: The relevance of Hendry's methodology: A reply," Regional Science and Urban Economics, Elsevier, vol. 36(2), pages 300-308, March.
  21. Blommestein, Hans J., 1983. "Specification and estimation of spatial econometric models : A discussion of alternative strategies for spatial economic modelling," Regional Science and Urban Economics, Elsevier, vol. 13(2), pages 251-270, May.
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