Testing the hypothesis of stability in spatial econometric models*

Jesus Mur, Fernando López and Ana Angulo
Authors registered in the RePEc Author Service: Lopez Hernandez Fernando A ()

Papers in Regional Science, 2009, vol. 88, issue 2, 409-444

Abstract: Abstract The objective of this paper is to advance in the discussion of the topic of heterogeneity in a spatial econometric model. The proposal is not a novelty as there is a great deal of experience accumulated on the same subject. What differentiates this work is that we use a broad notion of the term heterogeneity, in association with different symptoms of stability in the elements of the equation. That is, we deal with problems (i) in the coefficients of regression, (ii) in the variance of the random term and (iii) in the mechanisms of spatial dependence. With this purpose, we develop several tests through which we tackle the problem of heterogeneity from various perspectives. We assess their performance through a Monte Carlo experiment. Resumen El objetivo de este artículo es avanzar en la discusión sobre el tema de la heterogeneidad existente en un modelo econométrico espacial. La propuesta no es novedosa por cuanto ya existe mucha experiencia acumulada sobre el mismo tema. Lo que distingue a este trabajo es que utilizamos una lectura amplia del término heterogeneidad, asociado a diversos síntomas de estabilidad en los elementos de la ecuación. Esto es, tratamos con problemas (i) en los coeficientes de regresión, (ii) en la varianza del término aleatorio y (iii) en los mecanismos de dependencia espacial. Con este propósito, desarrollamos varias pruebas mediante las cuales abordamos el problema de la heterogeneidad desde perspectivas diferentes. Evaluamos su rendimiento mediante un experimento de Monte Carlo.

Date: 2009
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Citations: View citations in EconPapers (6)

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https://doi.org/10.1111/j.1435-5957.2009.00224.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:presci:v:88:y:2009:i:2:p:409-444

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