Testing for Spatial Lag and Spatial Error Dependence Using Double Length Artificial Regressions
This paper obtains the joint and conditional Lagrange Multiplier tests for a spatial lag regression model with spatial auto-regressive error derived in Anselin et al. (1996) using artificial Double Length Regressions (DLR). These DLR tests and their corresponding LM tests are compared using an illustrative example and a Monte Carlo simulation. Key Words: Double Length Regression; Spatial Lag Dependence; Spatial Error Dependence; Artificial Regressions JEL No. C12, C21, R15
|Date of creation:||Oct 2012|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (315) 443-3114
Fax: (315) 443-1081
Web page: http://www.maxwell.syr.edu/cpr.aspx
More information through EDIRC
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.:
- Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
- Russell Davidson & James G. MacKinnon, 1981.
"Model Specification Tests Based on Artificial Linear Regressions,"
426, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1984. "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June.
- Russell Davidson & James G. MacKinnon, 1980. "Model Specification Tests Based on Artificial Linear Regressions," Working Papers 390, Queen's University, Department of Economics.
- Badi H. BALTAGI, 1999. "Specification Tests in Panel Data Models Using Artificial Regressions," Annals of Economics and Statistics, GENES, issue 55-56, pages 277-297.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- Le, Canh Quang & Li, Dong, 2008. "Double-Length Regression tests for testing functional forms and spatial error dependence," Economics Letters, Elsevier, vol. 101(3), pages 253-257, December.
- Davidson, Russell & MacKinnon, James G, 1988.
"Double Length Artificial Regressions,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 50(2), pages 203-17, May.
- Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 31-40.
- Baltagi, Badi H. & Li, Dong, 2000. "Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation," Economics Letters, Elsevier, vol. 69(1), pages 9-14, October.
- 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.
When requesting a correction, please mention this item's handle: RePEc:max:cprwps:147. 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: (Kelly Bogart)or (Katrina Wingle)
If references are entirely missing, you can add them using this form.