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Model selection using J-test for the spatial autoregressive model vs. the matrix exponential spatial model

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  • Han, Xiaoyi
  • Lee, Lung-fei

Abstract

We consider using the J-test procedure for the non-nested model selection problem between the spatial autoregressive (SAR) model and the matrix exponential spatial specification (MESS) model. The 2SLS and GMM methods are used to implement the J-test procedure and derive several test statistics under the GMM framework. We investigate the behavior of those J-test statistics in terms of pseudo true values. We extend the J-test procedure into the setting when error terms in the model are with unknown heteroskedasticity. Monte Carlo results suggest with strong spatial dependence the J-test statistics can have good power to distinguish the SAR and MESS models.

Suggested Citation

  • Han, Xiaoyi & Lee, Lung-fei, 2013. "Model selection using J-test for the spatial autoregressive model vs. the matrix exponential spatial model," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 250-271.
  • Handle: RePEc:eee:regeco:v:43:y:2013:i:2:p:250-271
    DOI: 10.1016/j.regsciurbeco.2012.07.005
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    Cited by:

    1. Han, Xiaoyi & Lee, Lung-fei, 2013. "Bayesian estimation and model selection for spatial Durbin error model with finite distributed lags," Regional Science and Urban Economics, Elsevier, vol. 43(5), pages 816-837.
    2. Debarsy, Nicolas & Jin, Fei & Lee, Lung-fei, 2015. "Large sample properties of the matrix exponential spatial specification with an application to FDI," Journal of Econometrics, Elsevier, vol. 188(1), pages 1-21.
    3. repec:eee:econom:v:203:y:2018:i:1:p:1-18 is not listed on IDEAS
    4. Delgado, Miguel A. & Robinson, Peter M., 2015. "Non-nested testing of spatial correlation," Journal of Econometrics, Elsevier, vol. 187(1), pages 385-401.

    More about this item

    Keywords

    Spatial autoregressive model; Matrix exponential spatial model; J-test; Pseudo true value; GMM;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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