The Likelihood Ratio Test of Common Factors under Non-Ideal Conditions
Ana Angulo and
Jesus Mur
INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, 2011, issue 21, 37-52
Abstract:
The Spatial Durbin model occupies an interesting position in SpatialEconometrics. It is the reduced form of a model with cross-sectional dependencein the errors and it may be used as the nesting equation in a more general approachof model selection. Specifically, in this equation we can obtain the Likelihood Ratiotest of Common Factors (LRCOM). This test has good properties if the model iscorrectly specified, as shown in Mur and Angulo (2006). However, as far as weknow, there is no literature in relation to the behaviour of the test under non-idealconditions, which is the purpose of the paper. Specifically, we study the performanceof the test in the case of heteroscedasticity, non-normality, endogeneity,dense weighting matrices and non-linearity. Our results offer a positive view of theLikelihood Ratio test of Common Factors, which appears to be a useful techniquein the toolbox of spatial econometrics.
Keywords: Likelihood Ratio Test of Common Factor; Heteroscedasticity; Nonnormality; Endogeneity; Non-linearity (search for similar items in EconPapers)
JEL-codes: C21 C50 R15 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)
Downloads: (external link)
http://www.aecr.org/images/ImatgesArticles/2012/3/04_ANGULO.pdf Full text (application/pdf)
Related works:
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: https://EconPapers.repec.org/RePEc:ris:invreg:0030
Access Statistics for this article
INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH is currently edited by Vicente Royuela Mora
More articles in INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH from Asociación Española de Ciencia Regional C/ Viladomat, 321 entresuelo - 08029 Barcelona, Teléfono y Fax: + 34 933101112, E-mail: info@aecr.org, Web: www.aecr.org, Web Investigaciones Regionales: www.investigacionesregionales.org. Contact information at EDIRC.
Bibliographic data for series maintained by IIRR-JORR ().