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A Hausman Test for Spatial Regression Model

In: Essays in Honor of Jerry Hausman

Author

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  • Monalisa Sen
  • Anil K. Bera
  • Yu-Hsien Kao

Abstract

In this chapter we investigate the finite sample properties of a Hausman test for the spatial error model (SEM) proposed by Pace and LeSage (2008). In particular, we demonstrate that the power of their test could be very low against a natural alternative like the spatial autoregressive (SAR) model.

Suggested Citation

  • Monalisa Sen & Anil K. Bera & Yu-Hsien Kao, 2012. "A Hausman Test for Spatial Regression Model," Advances in Econometrics, in: Essays in Honor of Jerry Hausman, pages 547-559, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-9053(2012)0000029023
    DOI: 10.1108/S0731-9053(2012)0000029023
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    More about this item

    Keywords

    Hausman test; spatial autoregression model; spatial error model; specification test; Monte Carlo study.; C01; C12; C31;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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