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A Test Strategy for Spurious Spatial Regression, Spatial Nonstationarity, and Spatial Cointegration

  • Jorgen Lauridsen

    ()

  • Reinhold Kosfeld

    ()

A test strategy consisting of a twofold application of a Lagrange Multiplier test is suggested as a device to reveal spatial nonstationarity and spurious spatial regeression. It is further illustrated how the test strategy can be used as a diagnostic for presence of a spatial cointegrating relationship between two variables. Using Monte Carlo simulations it is shown that the small sample behaviour of the test strategy is as desired in these cases.

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File URL: http://www-sre.wu-wien.ac.at/ersa/ersaconfs/ersa03/cdrom/papers/42.pdf
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Paper provided by European Regional Science Association in its series ERSA conference papers with number ersa03p42.

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Date of creation: Aug 2003
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Handle: RePEc:wiw:wiwrsa:ersa03p42
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  1. Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, vol. 33(2), pages 143-156.
  2. Jorgen Lauridsen & Birgit Nahrstedt, 1998. "Spatial patterns in intermunicipal Danish commuting," ERSA conference papers ersa98p441, European Regional Science Association.
  3. Jørgen Lauridsen, 2006. "Spatial autoregressively distributed lag models: equivalent forms, estimation, and an illustrative commuting model," The Annals of Regional Science, Springer, vol. 40(2), pages 297-311, June.
  4. Mur, Jesus, 2002. "On the specification of spatial econometric models," ERSA conference papers ersa02p012, European Regional Science Association.
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