Spatial lag test with equal weights

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticle

6 Scopus citations

Abstract

This note shows that for a spatial regression with equal weights, the LM test is always equal to N / 2(N - 1), where N is the sample size. This means that this test statistics is a function of N and not a function of the spatial parameter ρ. In fact, this test statistic tends to one half for N tending to infinity. The null hypothesis of no spatial correlation is never rejected no matter what ρ is.

Original languageEnglish (US)
Pages (from-to)81-82
Number of pages2
JournalEconomics Letters
Volume104
Issue number2
DOIs
StatePublished - Aug 1 2009

Keywords

  • Equal weights
  • Lagrange multiplier
  • Spatial error correlation

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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