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Testing for Spatial Effects in Seemingly Unrelated Regressions

Author

Listed:
  • Jesús Mur
  • Fernando López
  • Marcos Herrera

Abstract

Abstract The paper focuses on the case of a panel data set, without unobserved individual effects, treated by means of an SUR specification. The problem raised is to test for the presence of spatial effects in these multivariate systems. Various useful tests are developed based on the principle of the Lagrange Multiplier in a maximum-likelihood framework. Also, we address the question of the time stability of the sequence of spatial dependence coefficients, as a maintained hypothesis that is not necessarily true in applied work. The second part of the paper presents the results of a Monte Carlo experiment. Essais sur les effets spatiaux dans des régressions apparemment sans rapport Resume Cette communication se concentre sur le cas de l'ensemble de données de panel, sans effets individuels non observés, traitées au moyen d'une spécification SUR. Le problème soulevé concerne l'examen de la présence d'effets spatiaux dans ces systèmes à multi-variables. On développe plusieurs essais utiles, basés sur le principe du multiplicateur d'Euler-Lagrange dans un cadre de probabilité maximale. En outre, nous nous penchons sur la question de la stabilité en fonction du temps des coefficients de dépendance spatiale, en tant qu'hypothèse maintenue qui n'est pas nécessairement vraie dans les applications pratiques. La deuxième partie de la communication présente les résultats d'une expérience Monte Carlo. Ensayando los efectos espaciales en ecuaciones aparentemente no relacionadas Extracto El trabajo se centra en el caso de un conjunto de datos de panel, donde no existen efectos individuales inobservados, tratado por medio de una especificación SUR. El problema que se plantea es contrastar la existencia de efectos espaciales en ese tipo de sistemas multivariados. Se desarrollan varios contrastes basados en el principio del Multiplicador de Lagrange en un contexto de máxima verosimilitud. Igualmente tratamos la cuestioen de la estabilidad temporal en la secuencia de coeficientes de dependencia espacial, como una hipótesis mantenida que no es necesariamente cierta en trabajos de tipo aplicados. La parte final del arti′culo presenta los resultados de un experimento de Monte Carlo.

Suggested Citation

  • Jesús Mur & Fernando López & Marcos Herrera, 2010. "Testing for Spatial Effects in Seemingly Unrelated Regressions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 5(4), pages 399-440.
  • Handle: RePEc:taf:specan:v:5:y:2010:i:4:p:399-440
    DOI: 10.1080/17421772.2010.516443
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    Citations

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    Cited by:

    1. Fernando López & Jesús Mur & Ana Angulo, 2014. "Spatial model selection strategies in a SUR framework. The case of regional productivity in EU," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 53(1), pages 197-220, August.
    2. Mate-Sanchez, Mariluz & López Hernández, Fernando A. & Lacambra, Jesus Mur, 2012. "Analyzing long-term average adjustment of financial ratios with spatial interactions," Economic Modelling, Elsevier, vol. 29(4), pages 1370-1376.
    3. Lauridsen, Jørgen T. & Zeren, Fatma & Ari, Ay?E, 2015. "Is Crime in Turkey Economically Rational?/¿Es económicamente racional el crimen en Turquía?," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 33, pages 37-52, Enero.
    4. Laurent Van Malderen & Bart Jourquin & Isabelle Thomas, 2012. "Employers Transport Plans: Do They Change The Commuting Behaviour Of Workers?," ERSA conference papers ersa12p1048, European Regional Science Association.
    5. Paola Bertolini & Michele Lalla & Francesco Pagliacci, 2015. "School enrolment of first- and second-generation immigrant students in Italy: A geographical analysis," Papers in Regional Science, Wiley Blackwell, vol. 94(1), pages 141-159, March.
    6. López Hernández, Fernando A. & Martínez Ortiz, Pedro José & Cegarra Navarro, Juan Gabriel, 2015. "Interacción espacial en el gasto en servicios públicos de las entidades locales. Un enfoque panel mediante modelos SUR /Spatial Interaction in Spending on Public Services by Local Governments. A Panel," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 33, pages 81-100, Enero.

    More about this item

    Keywords

    Spatial dependence; seemingly unrelated regressions; Monte Carlo; C21; C50; R15;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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