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A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications

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  • Ying Fang
  • Sung Y. Park
  • Jinfeng Zhang

Abstract

It is well known that the standard Lagrange multiplier (LM) test loses its local optimality when the true non-null model is not correctly specified. In this paper, we derive a score test robust to local and distributional misspecifications for spatial error autocorrelation and spatial lag dependence. The proposed test is general enough to include several popular tests for the spatial dependence as special cases. In our framework, we find that Burridge (1980) and Anselin, Bera, Florax and Yoon (1996)’s tests are automatically robust to distributional misspecification in some special cases. The size and power performances of our proposed score tests are investigated by a Monte-Carlo simulation.

Suggested Citation

  • Ying Fang & Sung Y. Park & Jinfeng Zhang, 2013. "A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002027
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    Cited by:

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    More about this item

    Keywords

    Spatial dependence; Score test; Robust test; Distribution misspecification;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General

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