Robust Test for Spatial Error Model:Considering Changes of Spatial Layouts and Distribution Misspecification

Penghui Guo and Lihu Liu ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper suggests a robust LM (Lagrange Multiplier) test for spatial error model which not only reduces the influence of spatial lag dependence immensely, but also presents robust to changes of spatial layouts and distribution misspecification. Monte Carlo simulation results imply that existing LM tests have serious size and power distortion with the presence of spatial lag dependence, group interaction or non-normal distribution, but the robust LM test of this paper shows well performance.

Keywords: LM test; Spatial Layouts; Distribution Misspecification; Robustness (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2011-11, Revised 2012-04
New Economics Papers: this item is included in nep-ecm, nep-geo and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/38050/1/MPRA_paper_38050.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/38078/1/MPRA_paper_38078.pdf revised version (application/pdf)

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:pra:mprapa:38050

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().