Spatial lag test with equal weights

Badi Baltagi and Long Liu

Economics Letters, 2009, vol. 104, issue 2, 81-82

Abstract: This note shows that for a spatial regression with equal weights, the LM test is always equal to NÂ /Â 2(NÂ -Â 1), where N is the sample size. This means that this test statistics is a function of N and not a function of the spatial parameter [rho]. In fact, this test statistic tends to one half for N tending to infinity. The null hypothesis of no spatial correlation is never rejected no matter what [rho] is.

Keywords: Spatial; error; correlation; Equal; weights; Lagrange; multiplier (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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