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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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.:
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- H. Kelejian, Harry & Prucha, Ingmar R., 2001.
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Journal of Econometrics,
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- 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.
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- 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. Full references (including those not matched with items on IDEAS)