Monte Carlo properties of spatial dependence LM tests

Pablo Acosta (), Enlinson Mattos () and Ana Claudia Polato e Fava ()

Applied Economics Letters, 2006, vol. 13, issue 14, pages 905-910

Abstract: This paper compares the power and size of both spatial one-directional and robust to local misspecification LM test using Monte Carlo techniques under different set ups. Confirming the results found in Anselin et al . (1996), under local misspecification the robust LM test improves its size and power of tests. However, under no misspecification, the robust LM test is severely penalized and the usual one-directional LM test has a much better performance.

Date: 2006
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