Testing for spatial lag and spatial error dependence using double length artificial regressions

Badi Baltagi and Long Liu ()

Statistical Papers, 2014, vol. 55, issue 2, 477-486

Abstract: This paper obtains the joint and conditional Lagrange multiplier (LM) tests for a spatial lag regression model with spatial auto-regressive error derived in Anselin (Reg Sci Urban Ecom 26:77–104, 1996 ) using artificial double length regressions (DLR). These DLR tests and their corresponding LM tests are compared using an illustrative example and a Monte Carlo simulation. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Double length regression; Spatial lag dependence; Spatial error dependence; Artificial regressions; C12; C21; R15 (search for similar items in EconPapers)
Date: 2014
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Working Paper: Testing for Spatial Lag and Spatial Error Dependence Using Double Length Artificial Regressions (2012)
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DOI: 10.1007/s00362-012-0492-8

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