Economics at your fingertips  

Testing for breaks in the weighting matrix

Ana Angulo, Peter Burridge () and Jesus Mur ()

Regional Science and Urban Economics, 2018, vol. 68, issue C, 115-129

Abstract: A weighting matrix, W, say, connecting pairs of observation sites, is a key element in the specification of many spatial models. Typically this matrix is fixed a priori by the investigator, which is seldom satisfactory. Recent proposals advocate a more data-driven approach in which W may be estimated. Where panel data are available it may be possible not only to estimate W but also to test its constancy through time. When the time dimension of the panel is large there is a non-negligible risk of breaks in model parameters, including possibly the weights. Ignoring such breaks when they are present will produce at best inefficient parameter estimates, and in most cases, biases. The paper focuses on the stability of W by adapting to the spatial panel context tests for the constancy of covariance matrices developed in the multivariate statistics literature. Information provided by these tests is a prerequisite for a satisfactory analysis of models in which W appears. The utility of our approach is illustrated by two case studies of the contemporary Spanish economy.

Keywords: Weights matrix; Estimation of W; Structural breaks; Tests of equality (search for similar items in EconPapers)
JEL-codes: C4 C5 R1 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing for breaks in the weighting matrix (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Regional Science and Urban Economics is currently edited by D.P McMillen and Y. Zenou

More articles in Regional Science and Urban Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-02-08
Handle: RePEc:eee:regeco:v:68:y:2018:i:c:p:115-129