Model selection using J-test for the spatial autoregressive model vs. the matrix exponential spatial model

Xiaoyi Han and Lung-Fei Lee

Regional Science and Urban Economics, 2013, vol. 43, issue 2, 250-271

Abstract: We consider using the J-test procedure for the non-nested model selection problem between the spatial autoregressive (SAR) model and the matrix exponential spatial specification (MESS) model. The 2SLS and GMM methods are used to implement the J-test procedure and derive several test statistics under the GMM framework. We investigate the behavior of those J-test statistics in terms of pseudo true values. We extend the J-test procedure into the setting when error terms in the model are with unknown heteroskedasticity. Monte Carlo results suggest with strong spatial dependence the J-test statistics can have good power to distinguish the SAR and MESS models.

Keywords: Spatial autoregressive model; Matrix exponential spatial model; J-test; Pseudo true value; GMM (search for similar items in EconPapers)
JEL-codes: C12 C21 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:regeco:v:43:y:2013:i:2:p:250-271

DOI: 10.1016/j.regsciurbeco.2012.07.005

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