Testing for Spatial Lag and Spatial Error Dependence Using Double Length Artificial Regressions

Badi Baltagi and Long Liu
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Long Liu: The University of Texas at San Antonio

No 147, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: 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

Pages: 9 pages
Date: 2012-10
New Economics Papers: this item is included in nep-ecm and nep-ure
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