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Testing for spatial lag and spatial error dependence using double length artificial regressions

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  • Badi Baltagi
  • Long Liu

Abstract

This paper obtains the joint and conditional Lagrange multiplier (LM) tests for a spatial lag regression model with spatial auto-regressive error derived in Anselin (Reg Sci Urban Ecom 26:77–104, 1996 ) using artificial double length regressions (DLR). These DLR tests and their corresponding LM tests are compared using an illustrative example and a Monte Carlo simulation. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • 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.
    • Handle: RePEc:spr:stpapr:v:55:y:2014:i:2:p:477-486
    DOI: 10.1007/s00362-012-0492-8
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
    4. H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
    5. 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.
    6. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    7. 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.
    8. 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.
    9. Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 31-40.
    10. repec:adr:anecst:y:1999:i:55-56:p:10 is not listed on IDEAS
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    Cited by:

    1. 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.
    2. Deng, Mingyu & Wang, Mingxi, 2022. "Artificial regression test diagnostics for impact measures in spatial models," Economics Letters, Elsevier, vol. 217(C).

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    More about this item

    Keywords

    Double length regression; Spatial lag dependence; Spatial error dependence; Artificial regressions; C12; C21; R15;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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