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

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Listed author(s):
  • Jorgen Lauridsen

    ()

  • Reinhold Kosfeld

    ()

Abstract

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.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
Handle: RePEc:wiw:wiwrsa:ersa03p42
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Web page: http://www.ersa.org

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

  1. Badi H. Baltagi & Chihwa Kao & Long Liu, 2013. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(3), pages 241-270, September.
  2. Filiz Yesilyurt & J. Elhorst, 2014. "A regional analysis of inflation dynamics in Turkey," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 52(1), pages 1-17, January.
  3. Lauridsen, J. & Kosfeld, R., 2004. "A wald Test for Spatial Nonstationarity," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 1-12, Diciembre.
  4. Baltagi, Badi H. & Fingleton, Bernard & Pirotte, Alain, 2014. "Spatial lag models with nested random effects: An instrumental variable procedure with an application to English house prices," Journal of Urban Economics, Elsevier, vol. 80(C), pages 76-86.
  5. repec:asg:wpaper:1013 is not listed on IDEAS
  6. Reinhold Kosfeld & Jorgen Lauridsen, 2004. "Dynamic spatial modelling of regional convergence processes," Empirical Economics, Springer, vol. 29(4), pages 705-722, December.
  7. Tony Smith & Ka Lee, 2012. "The effects of spatial autoregressive dependencies on inference in ordinary least squares: a geometric approach," Journal of Geographical Systems, Springer, vol. 14(1), pages 91-124, January.
  8. Andrea Vaona, 2010. "Spatial autocorrelation and the sensitivity of RESET: a simulation study," Journal of Geographical Systems, Springer, vol. 12(1), pages 89-103, March.
  9. Jørgen Lauridsen & Reinhold Kosfeld, 2007. "Spatial cointegration and heteroscedasticity," Journal of Geographical Systems, Springer, vol. 9(3), pages 253-265, September.

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