Improved Lagrange multiplier tests in spatial autoregressions
Peter M. Robinson and
Francesca Rossi ()
Econometrics Journal, 2014, vol. 17, issue 1, 139-164
For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (χ-super-2) first‐order asymptotic approximation to critical values can be poor in small samples. We develop refined tests for lack of spatial error correlation in regressions, based on Edgeworth expansion. In Monte Carlo simulations, these tests, and bootstrap tests, generally significantly outperform χ-super-2‐based tests.
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Working Paper: Improved Lagrange multiplier tests in spatial autoregressions (2014)
Working Paper: Improved Lagrange Multiplier Tests in Spatial Autoregressions (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:emjrnl:v:17:y:2014:i:1:p:139-164
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