DOUBLE LENGTH ARTIFICIAL REGRESSIONS FOR TESTING SPATIAL DEPENDENCE

Badi Baltagi and Dong Li

Econometric Reviews, 2001, vol. 20, issue 1, 31-40

Abstract: This paper derives two simple artificial Double Length Regressions (DLR) to test for spatial dependence. The first DLR tests for spatial lag dependence while the second DLR tests for spatial error dependence. Both artificial regressions utilize only least squares residuals of the restricted model and are therefore easy to compute. These tests are illustrated using two simple examples. In addition, Monte Carlo experiments are performed to study the small sample performance of these tests. As expected, these DLR tests have similar performance to their corresponding LM counterparts.

Keywords: Double length regressions; Spatial dependence; Lagrange multiplier; JEL Classification: C12; C21; R15 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1081/ETC-100104078

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