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Double Length Artificial Regressions For Testing Spatial Dependence

Author

Listed:
  • Badi Baltagi
  • Dong Li

Abstract

This paper derives two simple artificial Double Length Regressions (DLR) to test for spatial dependence. The first DLR tests for spatial lag dependence while the second DLR tests for spatial error dependence. Both artificial regressions utilize only least squares residuals of the restricted model and are therefore easy to compute. These tests are illustrated using two simple examples. In addition, Monte Carlo experiments are performed to study the small sample performance of these tests. As expected, these DLR tests have similar performance to their corresponding LM counterparts.

Suggested Citation

  • Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 31-40.
    • Handle: RePEc:taf:emetrv:v:20:y:2001:i:1:p:31-40
    DOI: 10.1081/ETC-100104078
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    Citations

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    Cited by:

    1. Mur, Jesús & Angulo, Ana, 2009. "Model selection strategies in a spatial setting: Some additional results," Regional Science and Urban Economics, Elsevier, vol. 39(2), pages 200-213, March.
    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. Stratford M. Douglas & Julia N. Popova, 2011. "Econometric Estimation of Spatial Patterns in Electricity Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 81-106.
    4. Kelejian, Harry H. & Prucha, Ingmar R., 2010. "Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances," Journal of Econometrics, Elsevier, vol. 157(1), pages 53-67, July.
    5. Kelejian, Harry H. & Prucha, Ingmar R., 2004. "Estimation of simultaneous systems of spatially interrelated cross sectional equations," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 27-50.
    6. 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.
    7. 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.
    8. Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
    9. Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, vol. 140(1), pages 131-154, September.
    10. 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.
    11. Benjamin Born & Jörg Breitung, 2011. "Simple regression‐based tests for spatial dependence," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 330-342, July.
    12. 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.
    13. Joachim Möller & Alisher Aldashev, 2007. "Wage Inequality, Reservation Wages and Labor Market Participation," International Regional Science Review, , vol. 30(2), pages 120-151, April.
    14. 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.
    15. Deng, Mingyu & Wang, Mingxi, 2022. "Artificial regression test diagnostics for impact measures in spatial models," Economics Letters, Elsevier, vol. 217(C).
    16. Keller, Wolfgang & Shiue, Carol H., 2007. "The origin of spatial interaction," Journal of Econometrics, Elsevier, vol. 140(1), pages 304-332, September.
    17. Luc Anselin, 2010. "Thirty years of spatial econometrics," Papers in Regional Science, Wiley Blackwell, vol. 89(1), pages 3-25, March.
    18. Donou-Adonsou, Ficawoyi, 2019. "Technology, education, and economic growth in Sub-Saharan Africa," Telecommunications Policy, Elsevier, vol. 43(4), pages 353-360.
    19. Joachim Möller, 2009. "Regional variations in the price of building land: a spatial econometrics approach for West Germany," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 43(1), pages 113-132, March.

    More about this item

    Keywords

    Double length regressions; Spatial dependence; Lagrange multiplier; JEL Classification: 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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