IDEAS home Printed from https://ideas.repec.org/a/bpj/jtsmet/v2y2010i1n1.html
   My bibliography  Save this article

Nonlinearity and Spatial Lag Dependence: Tests Based on Double-Length Regressions

Author

Listed:
  • Li Dong

    (Kansas State University)

  • Le Canh

    (National Economics University)

Abstract

In this paper we derive test statistics based on the Double Length Regressions (DLRs) for testing nonlinearity (functional forms) and/or spatial lag dependence. Specifically, we derive the DLR tests to jointly test for linear or loglinear models with no spatial lag dependence against a general Box-Cox model with spatial lag dependence. The one-directional tests and the conditional tests based on the DLRs are also derived. Our DLR tests encompass those in Baltagi and Li (2001) and Davidson and MacKinnon (1985) as special cases. We present an illustrative example and Monte Carlo simulations. These DLR tests do not require the second-order derivatives or the Hessian of the loglikelihood function and are computationally simple. Monte Carlo simulations indicate that their performance is similar to that of the Hessian-based Lagrangian Multiplier (LM) tests in Baltagi and Li (2004).

Suggested Citation

  • Li Dong & Le Canh, 2010. "Nonlinearity and Spatial Lag Dependence: Tests Based on Double-Length Regressions," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-18, June.
    • Handle: RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:1
    DOI: 10.2202/1941-1928.1039
    as

    Download full text from publisher

    File URL: https://doi.org/10.2202/1941-1928.1039
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.2202/1941-1928.1039?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Florax, Raymond & Folmer, Henk, 1992. "Specification and estimation of spatial linear regression models : Monte Carlo evaluation of pre-test estimators," Regional Science and Urban Economics, Elsevier, vol. 22(3), pages 405-432, September.
    2. Sergio J. Rey & Boris Dev, 2006. "σ‐convergence in the presence of spatial effects," Papers in Regional Science, Wiley Blackwell, vol. 85(2), pages 217-234, June.
    3. Davidson, Russell & MacKinnon, James G, 1984. "Model Specification Tests Based on Artificial Linear Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(2), pages 485-502, June.
    4. Davidson, Russell & MacKinnon, James G, 1988. "Double Length Artificial Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(2), pages 203-217, May.
    5. Le, Canh Quang & Li, Dong, 2008. "Double-Length Regression tests for testing functional forms and spatial error dependence," Economics Letters, Elsevier, vol. 101(3), pages 253-257, December.
    6. Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
    7. F. Carson Mencken, 2004. "Federal Defense Spending and Metropolitan and Nonmetropolitan Disparities in Economic Growth in the Southeast," Social Science Quarterly, Southwestern Social Science Association, vol. 85(2), pages 324-339, June.
    8. Russell Davidson & James G. MacKinnon, 1985. "Testing Linear and Loglinear Regressions against Box-Cox Alternatives," Canadian Journal of Economics, Canadian Economics Association, vol. 18(3), pages 499-517, August.
    9. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    10. R. Kelley Pace & Ronald Barry & V. Carlos Slawson & C. F. Sirmans, 2004. "Simultaneous Spatial and Functional Form Transformations," Advances in Spatial Science, in: Luc Anselin & Raymond J. G. M. Florax & Sergio J. Rey (ed.), Advances in Spatial Econometrics, chapter 9, pages 197-224, Springer.
    11. Zhenlin Yang & Yiu-Kuen Tse, 2008. "Generalized LM tests for functional form and heteroscedasticity," Econometrics Journal, Royal Economic Society, vol. 11(2), pages 349-376, July.
    12. Myles Patton & Seamus McErlean, 2003. "Spatial Effects within the Agricultural Land Market in Northern Ireland," Journal of Agricultural Economics, Wiley Blackwell, vol. 54(1), pages 35-54, March.
    13. T J Fik & G F Mulligan, 1998. "Functional Form and Spatial Interaction Models," Environment and Planning A, , vol. 30(8), pages 1497-1507, August.
    14. Lung-Fei Lee, 2004. "Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models," Econometrica, Econometric Society, vol. 72(6), pages 1899-1925, November.
    15. Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 31-40.
    16. Long Gen Ying, 2003. "Understanding China’s recent growth experience: A spatial econometric perspective," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 37(4), pages 613-628, December.
    17. Simonetta Longhi & Peter Nijkamp, 2007. "Forecasting Regional Labor Market Developments under Spatial Autocorrelation," International Regional Science Review, , vol. 30(2), pages 100-119, April.
    18. Baltagi, Badi H. & Li, Dong, 2000. "Double-length regressions for the Box-Cox difference model with heteroskedasticity or autocorrelation," Economics Letters, Elsevier, vol. 69(1), pages 9-14, October.
    19. David Maddison, 2007. "Modelling sulphur emissions in Europe: a spatial econometric approach," Oxford Economic Papers, Oxford University Press, vol. 59(4), pages 726-743, October.
    20. Won Kim, Chong & Phipps, Tim T. & Anselin, Luc, 2003. "Measuring the benefits of air quality improvement: a spatial hedonic approach," Journal of Environmental Economics and Management, Elsevier, vol. 45(1), pages 24-39, January.
    21. Bernard Fingleton, 2006. "A cross‐sectional analysis of residential property prices: the effects of income, commuting, schooling, the housing stock and spatial interaction in the English regions," Papers in Regional Science, Wiley Blackwell, vol. 85(3), pages 339-361, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Giuseppe Arbia, 2011. "A Lustrum of SEA: Recent Research Trends Following the Creation of the Spatial Econometrics Association (2007--2011)," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(4), pages 377-395, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Le, Canh Quang & Li, Dong, 2008. "Double-Length Regression tests for testing functional forms and spatial error dependence," Economics Letters, Elsevier, vol. 101(3), pages 253-257, December.
    2. Badi Baltagi & Long Liu, 2014. "Testing for spatial lag and spatial error dependence using double length artificial regressions," Statistical Papers, Springer, vol. 55(2), pages 477-486, May.
    3. Badi H. Baltagi, 1999. "Specification Tests in Panel Data Models Using Artificial Regressions," Annals of Economics and Statistics, GENES, issue 55-56, pages 277-297.
    4. Luc Anselin, 2010. "Thirty years of spatial econometrics," Papers in Regional Science, Wiley Blackwell, vol. 89(1), pages 3-25, March.
    5. Badi H. Baltagi & Dong Li, 2001. "LM Tests for Functional Form and Spatial Error Correlation," International Regional Science Review, , vol. 24(2), pages 194-225, April.
    6. Y. K. Tse & Z. L. Yang, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Far Eastern Meetings 424, Econometric Society.
    7. Baltagi, Badi H., 1997. "Testing linear and loglinear error components regressions against Box-Cox alternatives," Statistics & Probability Letters, Elsevier, vol. 33(1), pages 63-68, April.
    8. Davidson, Russell & MacKinnon, James G., 1989. "Testing for Consistency using Artificial Regressions," Econometric Theory, Cambridge University Press, vol. 5(3), pages 363-384, December.
    9. Badi H. Baltagi & Long Liu, 2015. "Testing for Spacial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions," Center for Policy Research Working Papers 183, Center for Policy Research, Maxwell School, Syracuse University.
    10. Fang, Ying & Park, Sung Y. & Zhang, Jinfeng, 2014. "A simple spatial dependence test robust to local and distributional misspecifications," Economics Letters, Elsevier, vol. 124(2), pages 203-206.
    11. David Maddison, 2009. "A Spatio‐temporal Model of Farmland Values," Journal of Agricultural Economics, Wiley Blackwell, vol. 60(1), pages 171-189, February.
    12. Delores Conway & Christina Li & Jennifer Wolch & Christopher Kahle & Michael Jerrett, 2010. "A Spatial Autocorrelation Approach for Examining the Effects of Urban Greenspace on Residential Property Values," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 150-169, August.
    13. Simlai, Prodosh, 2014. "Estimation of variance of housing prices using spatial conditional heteroskedasticity (SARCH) model with an application to Boston housing price data," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 17-30.
    14. Davidson, R. & MacKinnon & J.G., 1999. "Artificial Regressions," G.R.E.Q.A.M. 99a04, Universite Aix-Marseille III.
    15. Benjamin Born & Jörg Breitung, 2011. "Simple regression‐based tests for spatial dependence," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 330-342, July.
    16. repec:asg:wpaper:1013 is not listed on IDEAS
    17. Solmaria Halleck Vega & J. Paul Elhorst, 2015. "The Slx Model," Journal of Regional Science, Wiley Blackwell, vol. 55(3), pages 339-363, June.
    18. Joachim Möller & Alisher Aldashev, 2007. "Wage Inequality, Reservation Wages and Labor Market Participation," International Regional Science Review, , vol. 30(2), pages 120-151, April.
    19. Anselin, Luc, 2002. "Under the hood : Issues in the specification and interpretation of spatial regression models," Agricultural Economics, Blackwell, vol. 27(3), pages 247-267, November.
    20. Joachim Möller & Alisher Aldashev, 2006. "Interregional differences in labor market participation," Review of Regional Research: Jahrbuch für Regionalwissenschaft, Springer;Gesellschaft für Regionalforschung (GfR), vol. 26(1), pages 25-50, March.
    21. Deng, Mingyu & Wang, Mingxi, 2022. "Artificial regression test diagnostics for impact measures in spatial models," Economics Letters, Elsevier, vol. 217(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.