EconPapers    
Economics at your fingertips  
 

Testing for a structural break in the weight matrix of the spatial error or spatial lag model

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

Spatial Economic Analysis, 2017, vol. 12, issue 2-3, 161-181

Abstract: Testing for a structural break in the weight matrix of the spatial error or spatial lag model. Spatial Economic Analysis. This paper studies the weight matrix in the two generic spatial econometric models, allowing the friction-of-distance parameter to be freely estimated by (Gaussian) maximum likelihood. It shows that in samples of moderate size it is perfectly feasible to estimate both the distance-decay coefficient that shapes the weights, and the usual SEM/SLM coefficient, and to test for a change in the former at an unknown change point. The procedure is easily extended to test for changes in other parameters. Tests of empirical size and power are investigated by Monte Carlo experiment, and the test is applied to a model of exchange rate pass through, with clear results.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/17421772.2016.1264620 (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:taf:specan:v:12:y:2017:i:2-3:p:161-181

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RSEA20

Access Statistics for this article

Spatial Economic Analysis is currently edited by Bernie Fingleton and Danilo Igliori

More articles in Spatial Economic Analysis from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-04-15
Handle: RePEc:taf:specan:v:12:y:2017:i:2-3:p:161-181