Testing spatial effects and random effects in a nested panel data model

Ming He and Kuan-Pin Lin

Economics Letters, 2015, vol. 135, issue C, 85-91

Abstract: We propose a multilevel spatial econometric model including spatially correlated error, spatially lagged dependent variable, county-level random effects and nested district-level random effects within a county. We construct joint Lagrange multiplier (LM) test to detect both the spatial effects and the random effects, LM tests to detect the spatial error correlation and/or the spatial lag dependence allowing for both types of random effects, and LM tests to detect the county-level random effects and/or the nested district-level random effects allowing for both types of spatial effects. A Monte Carlo simulation is conducted to show their good finite sample performances.

Keywords: Spatial dependence; Nested random effects; Lagrange multiplier test (search for similar items in EconPapers)
JEL-codes: C12 C21 C23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:135:y:2015:i:c:p:85-91

DOI: 10.1016/j.econlet.2015.07.028

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