Testing for spatial error dependence in probit models
In this note, we compare three test statistics that have been suggested to assess the presence of spatial error autocorrelation in probit models. We highlight the differences between the tests proposed by Pinkse and Slade (J Econom 85(1):125–254, 1998 ), Pinkse (Asymptotics of the Moran test and a test for spatial correlation in Probit models, 1999 ; Advances in Spatial Econometrics, 2004 ) and Kelejian and Prucha (J Econom 104(2):219–257, 2001 ), and compare their properties in a extensive set of Monte Carlo simulation experiments both under the null and under the alternative. We also assess the conjecture by Pinkse (Asymptotics of the Moran test and a test for spatial correlation in Probit models, 1999 ) that the usefulness of these test statistics is limited when the explanatory variables are spatially correlated. The Kelejian and Prucha (J Econom 104(2):219–257, 2001 ) generalized Moran’s I statistic turns out to perform best, even in medium sized samples of several hundreds of observations. The other two tests are acceptable in very large samples. Copyright Springer-Verlag Berlin Heidelberg 2013
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Volume (Year): 6 (2013)
Issue (Month): 2 (July)
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- Hendry, David F., 2006. "A comment on "Specification searches in spatial econometrics: The relevance of Hendry's methodology"," Regional Science and Urban Economics, Elsevier, vol. 36(2), pages 309-312, March.
- Rey, Sergio J. & Anselin, Luc, 2007. "PySAL: A Python Library of Spatial Analytical Methods," The Review of Regional Studies, Southern Regional Science Association, vol. 37(1), pages 5-27.
- Pedro V. Amaral & Luc Anselin, 2014. "Finite sample properties of Moran's I test for spatial autocorrelation in tobit models," Papers in Regional Science, Wiley Blackwell, vol. 93(4), pages 773-781, November.
- H. Kelejian, Harry & Prucha, Ingmar R., 2001.
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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.
- Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July.
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