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
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- Russell Davidson & James G. MacKinnon, 1987. "Double-Length Artificial Regressions," Working Papers 691, Queen's University, Department of Economics.
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- repec:adr:anecst:y:1999:i:55-56:p:10 is not listed on IDEAS
- 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. Full references (including those not matched with items on IDEAS)
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