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Bootstrap Inference in Spatial Econometrics: the J-test

Listed author(s):
  • Peter Burridge
  • Bernard Fingleton

Abstract Kelejian (2008) introduces a J-type test for the situation in which a null linear regression model, Model0, is to be tested against one or more rival non-nested alternatives, Model1, …, Model g , where typically the competing models possess endogenous spatial lags and spatially autoregressive error processes. Concentrating on the case g=1, in this paper we examine the finite sample properties of a spatial J statistic that is asymptotically under the null, and an alternative version that is conjectured to be approximately , both introduced by Kelejian. We demonstrate numerically that the tests are excessively liberal in some leading cases and conservative in others using the relevant chi-square asymptotic approximations, and explore how far this may be corrected using a simple bootstrap resampling method. Inférence ‘bootstrap’ dans l'économétrie spatiale: le test ‘J’ Résumé Kelejian (2008) présente un test de type J pour la situation dans laquelle on doit tester un modèle a régression linéaire nulle, Model0, par rapport à une ou plusieurs alternatives concurrentes non imbriquées, Model1, …, Model g , dans laquelle les modèles concurrents possèdent généralement des retards spatiaux endogènes et des procédés d'erreur spatialement autorégressifs. En nous concentrant sur le cas g=1, nous examinons, dans la présente communication, les propriétés d'échantillon finies d'une statistique spatiale J qui se trouve asymptotiquement sous le zéro, et une version alternative supposée être égale à environ , introduites toutes les deux par Kelejian. Nous démontrons de façon numérique que les tests sont excessivement libéraux, dans certains des principaux cas, et plutôt prudents dans d'autres, en faisant usage des approximations asymptotiques au chi carré, et nous explorons la mesure dans laquelle nous pouvons le corriger en appliquant un simple processus empirique ré-échantillonné. La inferencia bootstrap en la econometría espacial: el test J Résumén Kelejian (2008) introduce un test de tipo J para la situación en que un modelo de regresión lineal nulo, Model0, se pone a prueba contra una o más alternativas rivales no anidadas, Model1, …, Model g , donde típicamente los modelos competidores poseen lapsos espaciales endógenos y procesos de error espacialmente autorregresivos. Concentrándose en el caso, g=1, este trabajo examina las propiedades de muestra finita de una estadística espacial J que es asimptóticamente bajo el nulo, y una versión alternativa que se conjetura que es aproximadamente , ambas introducidas por Kelejian. Demostramos numéricamente que los tests son excesivamente liberales en ciertos casos destacados y conservadores en otros, utilizando las aproximaciones chi cuadradas oportunas, y exploramos hasta qué punto esto podría corregirse empleando un método simple bootstrap de remuestreo.

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Article provided by Taylor & Francis Journals in its journal Spatial Economic Analysis.

Volume (Year): 5 (2010)
Issue (Month): 1 ()
Pages: 93-119

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Handle: RePEc:taf:specan:v:5:y:2010:i:1:p:93-119
DOI: 10.1080/17421770903511346
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