Is spurious behaviour an issue for two independent stationary spatial autoregressive SAR(1) processes?

Christos Agiakloglou, Cleon Tsimbos and Apostolos Tsimpanos

Applied Economics Letters, 2015, vol. 22, issue 17, 1372-1377

Abstract: Spurious regression occurs when two independent stationary or nonstationary time series are found to be correlated. Spurious behaviour is also detected in spatial data. Using a Monte Carlo analysis, this study examines the spurious phenomenon for two independent stationary spatial autoregressive processes of order one, that is, SAR(1), and it finds that when spatial econometric models are estimated, as suggested by the LM specification tests, the spurious behaviour is not detected nor the presence of spatially autocorrelated errors.

Date: 2015
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DOI: 10.1080/13504851.2015.1031869

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