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LM tests for spatial correlation in spatial models with limited dependent variables

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  • Qu, Xi
  • Lee, Lung-fei

Abstract

Models of limited dependent variables are of great interest in econometrics. This paper focuses on the specification and hypothesis test of spatial models which have a Tobit structure. We derive an extended central limit theorem for statistics of a linear–quadratic form with multivariate random variables. We consider the LM statistics for testing spatial correlation and establish their asymptotic distributions. The tests are applied to an empirical example: we detect the presence of competition among school districts on school district income tax in Iowa.

Suggested Citation

  • Qu, Xi & Lee, Lung-fei, 2012. "LM tests for spatial correlation in spatial models with limited dependent variables," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 430-445.
    • Handle: RePEc:eee:regeco:v:42:y:2012:i:3:p:430-445
    DOI: 10.1016/j.regsciurbeco.2011.11.001
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    Cited by:

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    5. T. Arduini, 2016. "Distribution Free Estimation of Spatial Autoregressive Binary Choice Panel Data Models," Working Papers wp1052, Dipartimento Scienze Economiche, Universita' di Bologna.
    6. Tauisi Taupo & Harold Cuffe & Ilan Noy, 2018. "Household vulnerability on the frontline of climate change: the Pacific atoll nation of Tuvalu," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 20(4), pages 705-739, October.
    7. Yang, Kai & Lee, Lung-fei, 2017. "Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 196(1), pages 196-214.
    8. Claudine Desrieux & Romain Espinosa & Michael Visser, 2022. "Simultaneous Decision Making of Juries: Evidence From the Paris Labor Court," Working Papers hal-04104190, HAL.
    9. Rabovič, Renata & Čížek, Pavel, 2023. "Estimation of spatial sample selection models: A partial maximum likelihood approach," Journal of Econometrics, Elsevier, vol. 232(1), pages 214-243.
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    11. Anna Gloria Billé & Samantha Leorato, 2017. "Quasi-ML estimation, Marginal Effects and Asymptotics for Spatial Autoregressive Nonlinear Models," BEMPS - Bozen Economics & Management Paper Series BEMPS44, Faculty of Economics and Management at the Free University of Bozen.
    12. He, Ming & Lin, Kuan-Pin, 2013. "Locally adjusted LM test for spatial dependence in fixed effects panel data models," Economics Letters, Elsevier, vol. 121(1), pages 59-63.
    13. Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
    14. Qu, Xi & Lee, Lung-fei, 2015. "Estimating a spatial autoregressive model with an endogenous spatial weight matrix," Journal of Econometrics, Elsevier, vol. 184(2), pages 209-232.
    15. Jin, Fei & Lee, Lung-fei, 2019. "GEL estimation and tests of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 208(2), pages 585-612.
    16. He, Ming & Lin, Kuan-Pin, 2015. "Testing spatial effects and random effects in a nested panel data model," Economics Letters, Elsevier, vol. 135(C), pages 85-91.
    17. Xu, Xingbai & Lee, Lung-fei, 2018. "Sieve maximum likelihood estimation of the spatial autoregressive Tobit model," Journal of Econometrics, Elsevier, vol. 203(1), pages 96-112.
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    20. Lei, J., 2014. "Essays on nonlinear panel data models," Other publications TiSEM 302d1ae7-0310-43b0-b253-6, Tilburg University, School of Economics and Management.

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    More about this item

    Keywords

    Spatial econometric models; LM tests; Limited dependent variables;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • R50 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis - - - General

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