Testing for Spacial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions

Badi Baltagi and Long Liu ()
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Long Liu: Department of Economics, College of Business, University of Texas at San Antonio, One UTSA Circle, TX 78249-0633

No 183, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: This paper revisits the joint and conditional Lagrange Multiplier tests derived by Debarsy and Ertur (2010) for a fixed effects spatial lag regression model with spatial auto-regressive error, and derives these tests using artificial Double Length Regressions (DLR). These DLR tests and their corresponding LM tests are compared using an empirical example and a Monte Carlo simulation.

Keywords: Double Length Regresson; Spatial Lag Dependence; Spatial Error Dependence; Artificial Regressions; Panel Data; Fixed Effects (search for similar items in EconPapers)
JEL-codes: C12 C21 R15 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2015-09
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-geo, nep-ore and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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