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

H. Baltagi Badi and Liu Long

A chapter in Essays in Honor of man Ullah, 2016, vol. 36, pp 67-84 from Emerald Group Publishing Limited

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 autoregressive 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 regression; spatial lag dependence; spatial error dependence; artificial regressions; panel data; fixed effects; C12; C21; R15 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-905320160000036012

DOI: 10.1108/S0731-905320160000036012

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