Heteroskedasticity and non-normality robust LM tests for spatial dependence
The standard LM tests for spatial dependence in linear and panel regressions are derived under the normality and homoskedasticity assumptions of the regression disturbances. Hence, they may not be robust against non-normality or heteroskedasticity of the disturbances. Following Born and Breitung (2011), we introduce general methods to modify the standard LM tests so that they become robust against heteroskedasticity and non-normality. The idea behind the robustification is to decompose the concentrated score function into a sum of uncorrelated terms so that the outer product of gradient (OPG) can be used to estimate its variance. We also provide methods for improving the finite sample performance of the proposed tests. These methods are then applied to several popular spatial models. Monte Carlo results show that they work well in finite sample.
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.
Volume (Year): 43 (2013)
Issue (Month): 5 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/regec|
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., 2010.
"Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances,"
Journal of Econometrics,
Elsevier, vol. 157(1), pages 53-67, July.
- Harry H. Kelejian & Ingmar R. Prucha, 2008. "Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," CESifo Working Paper Series 2448, CESifo Group Munich.
- Russell Davidson & James G. MacKinnon, 1985.
"Heteroskedasticity-Robust Tests in Regression Directions,"
616, Queen's University, Department of Economics.
- DAVIDSON, Russel & MACKINNON, James G., "undated". "Heteroskedastcity-robust tests in regressions directions," CORE Discussion Papers RP 678, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Badi H. Baltagi & Zhenlin Yang, 2013.
"Standardized LM tests for spatial error dependence in linear or panel regressions,"
Royal Economic Society, vol. 16(1), pages 103-134, 02.
- Badi H. Baltagi & Zhenlin Yang, 2012. "Standardized LM Tests for Spatial Error Dependence in Linear or Panel Regressions," Center for Policy Research Working Papers 142, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Zhenlin Yang, 2010. "Standardized LM Tests for Spatial Error Dependence in Linear or Panel Regressions," Working Papers 11-2010, Singapore Management University, School of Economics.
- Debarsy, Nicolas & Ertur, Cem, 2010.
"Testing for spatial autocorrelation in a fixed effects panel data model,"
Regional Science and Urban Economics,
Elsevier, vol. 40(6), pages 453-470, November.
- Nicolas Debarsy & Cem Ertur, 2009. "Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model," Post-Print halshs-00414133, HAL.
- Nicolas DEBARSY (CERPE De Namur) & Cem ERTUR, 2009. "Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model," LEO Working Papers / DR LEO 1546, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Badi H. Baltagi & Seuck Heun Song & Won Koh, 2002.
"Testing Panel Data Regression Models with Spatial Error Correlation,"
10th International Conference on Panel Data, Berlin, July 5-6, 2002
B6-4, International Conferences on Panel Data.
- Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003. "Testing panel data regression models with spatial error correlation," Journal of Econometrics, Elsevier, vol. 117(1), pages 123-150, November.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- H. Kelejian, Harry & Prucha, Ingmar R., 2001.
"On the asymptotic distribution of the Moran I test statistic with applications,"
Journal of Econometrics,
Elsevier, vol. 104(2), pages 219-257, September.
- Harry H. Kelejian & Ingmar R. Prucha, 1999. "On the Asymptotic Distribution of the Moran I Test Statistic with Applications," Electronic Working Papers 99-002, University of Maryland, Department of Economics.
- Edward L. Glaeser & Bruce Sacerdote & José A. Scheinkman, 1996.
"Crime and Social Interactions,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 111(2), pages 507-548.
- Edward E. Glaeser & Bruce Sacerdote & Jose A. Scheinkman, 1995. "Crime and Social Interactions," Harvard Institute of Economic Research Working Papers 1738, Harvard - Institute of Economic Research.
- Edward L. Glaeser & Bruce Sacerdote & Jose A. Scheinkman, 1995. "Crime and Social Interactions," NBER Working Papers 5026, National Bureau of Economic Research, Inc.
- Yang, Zhenlin, 2010.
"A robust LM test for spatial error components,"
Regional Science and Urban Economics,
Elsevier, vol. 40(5), pages 299-310, September.
- Benjamin Born & Jörg Breitung, 2011.
"Simple regression‐based tests for spatial dependence,"
Royal Economic Society, vol. 14(2), pages 330-342, 07.
- Benjamin Born & Jörg Breitung, 2009. "Simple Regression Based Tests for Spatial Dependence," Bonn Econ Discussion Papers bgse23_2009, University of Bonn, Germany.
- Lee, Lung-fei & Yu, Jihai, 2010. "Estimation of spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 154(2), pages 165-185, February.
- Lin, Xu & Lee, Lung-fei, 2010. "GMM estimation of spatial autoregressive models with unknown heteroskedasticity," Journal of Econometrics, Elsevier, vol. 157(1), pages 34-52, July.
- 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:regeco:v:43:y:2013:i:5:p:725-739. 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: (Dana Niculescu)
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.