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Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions

In: Essays in Honor of man Ullah

Author

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  • H. Baltagi Badi
  • Liu Long

Abstract

This paper revisits the joint and conditional Lagrange multiplier tests derived by Debarsy and Ertur (2010) for a fixed effects spatial lag regression model with spatial autoregressive error, and derives these tests using artificial double length regressions (DLR). These DLR tests and their corresponding LM tests are compared using an empirical example and a Monte Carlo simulation.

Suggested Citation

  • H. Baltagi Badi & Liu Long, 2016. "Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions," Advances in Econometrics, in: Essays in Honor of man Ullah, volume 36, pages 67-84, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-905320160000036012
    DOI: 10.1108/S0731-905320160000036012
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    More about this item

    Keywords

    Double length regression; spatial lag dependence; spatial error dependence; artificial regressions; panel data; fixed effects; 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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