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Testing for Spatial Autocorrelation: Moving Average versus Autoregressive Processes

Author

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  • J Mur

    (Departamento de Análisis Económico, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza, Gran Vía 2-4, 50005 Zaragoza, Spain)

Abstract

In this paper I try to provide an answer to a simple question: how can we distinguish between a spatial autoregressive process and a spatial moving average process. This problem, which is apparently simple in a more general context, acquires a certain complexity when it is considered over an irregular, rather than homogeneous, space, so that the available instruments are somewhat scarce. In the light of this shortcoming, I develop an identification regime based on the Lagrange multipliers tests, one which is relatively simple to implement and which gives rise to significant results. This strategy tends to minimise the probability of commiting identification errors, albeit at the price of assuming some areas of uncertainty.

Suggested Citation

  • J Mur, 1999. "Testing for Spatial Autocorrelation: Moving Average versus Autoregressive Processes," Environment and Planning A, , vol. 31(8), pages 1371-1382, August.
    • Handle: RePEc:sae:envira:v:31:y:1999:i:8:p:1371-1382
    DOI: 10.1068/a311371
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    References listed on IDEAS

    as
    1. Luc Anselin, 1984. "Specification Tests On The Structure Of Interaction In Spatial Econometric Models," Papers in Regional Science, Wiley Blackwell, vol. 54(1), pages 165-182, January.
    2. Kelejian, Harry H. & Robinson, Dennis P., 1992. "Spatial autocorrelation : A new computationally simple test with an application to per capita county police expenditures," Regional Science and Urban Economics, Elsevier, vol. 22(3), pages 317-331, September.
    3. Luc Anselin & Raymond J. G. M. Florax, 1995. "New Directions in Spatial Econometrics: Introduction," Advances in Spatial Science, in: Luc Anselin & Raymond J. G. M. Florax (ed.), New Directions in Spatial Econometrics, chapter 1, pages 3-18, Springer.
    4. King, Maxwell L., 1983. "Testing for autoregressive against moving average errors in the linear regression model," Journal of Econometrics, Elsevier, vol. 21(1), pages 35-51, January.
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    Cited by:

    1. Leenders, Roger Th.A.J., 2002. "The specification of weight structures in network autocorrelation models of social influence," Research Report 02B09, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. Wang, Li & Ready, Richard C., 2005. "Spatial Econometric Approaches to Estimating Hedonic Property Value Models," 2005 Annual meeting, July 24-27, Providence, RI 19174, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Fernando López Hernández, 2021. "In memoriam of Professor Jesús Mur (1961–2020)," Journal of Spatial Econometrics, Springer, vol. 2(1), pages 1-5, December.
    4. James LeSage, 2015. "Software for Bayesian cross section and panel spatial model comparison," Journal of Geographical Systems, Springer, vol. 17(4), pages 297-310, October.
    5. repec:dgr:rugsom:02b09 is not listed on IDEAS

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