Testing for breaks in the weighting matrix
Peter Burridge and
Jesus Mur ()
Additional contact information
Ana Angulo: University of Zaragoza
Peter Burridge: University of York
Documentos de Trabajo from Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza
The weighting matrix is a key element in the specification of a spatial model. Typically, this matrix is fixed a priori by the researcher, which is not always satisfactory. Theoretical justification for the chosen matrix tends to be very vague, and the selection problem is seldom reconsidered. However, several recent proposals advocate a more data-driven approach. In fact, if we have panel data, the weighting matrix can be estimated from the data; this facilitates the development of statistical procedures for testing various hypotheses of interest. In the paper, we focus on the assumption of stability, through time, of this matrix by adapting a collection of covariance matrix stability tests, developed in a multivariate context. The tests are compared in a Monte Carlo; two examples illustrate the proposal.
Keywords: Weights matrix; Estimation of W; Structural breaks; Tests of equality (search for similar items in EconPapers)
JEL-codes: C4 C5 R1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:zar:wpaper:dt2017-01
Access Statistics for this paper
More papers in Documentos de Trabajo from Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza Contact information at EDIRC.
Bibliographic data for series maintained by Vicente Pinilla ().