The C(α)-type gradient test for spatial dependence in spatial autoregressive models

Lung-Fei Lee and Jihai Yu ()

Letters in Spatial and Resource Sciences, 2012, vol. 5, issue 3, 119-135

Abstract: This paper proposes the C(α)-type test in the GMM framework to test the possible presence of spatial correlation through the spatial lag in the spatial autoregressive (SAR) model. This test statistics is especially useful for the SAR model with disturbances under unknown heteroskedasticity. We provide analytical justification of its asymptotic distribution and also investigate its performance via various Monte Carlo simulations. We show that the C(α) test is computationally simple and has satisfactory finite sample performance. Copyright Springer-Verlag 2012

Keywords: C(α) test; Gradient test; Generalized method of moments; Spatial dependence; C12; C23 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1007/s12076-012-0077-0 (text/html)
Access to full text is restricted to subscribers.

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:spr:lsprsc:v:5:y:2012:i:3:p:119-135

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/12076

DOI: 10.1007/s12076-012-0077-0

Access Statistics for this article

Letters in Spatial and Resource Sciences is currently edited by Henk Folmer and Amitrajeet A. Batabyal

More articles in Letters in Spatial and Resource Sciences from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().