Double length artificial regressions for testing spatial dependence

Research output: Contribution to journalArticle

21 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)31-40
Number of pages10
JournalEconometric Reviews
Volume20
Issue number1
DOIs
StatePublished - Jan 1 2001
Externally publishedYes

Keywords

  • Double length regressions
  • JEL Classification: C12, C21, R15
  • Lagrange multiplier
  • Spatial dependence

ASJC Scopus subject areas

  • Economics and Econometrics

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