Spatial lag test with equal weights

Badi H. Baltagi; Long Liu

doi:10.1016/j.econlet.2009.04.008

Spatial lag test with equal weights

Badi H. Baltagi, Long Liu

Department of Economics

Research output: Contribution to journal › Article › peer-review

7 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 language	English (US)
Pages (from-to)	81-82
Number of pages	2
Journal	Economics Letters
Volume	104
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2009.04.008
State	Published - Aug 2009

Keywords

Equal weights
Lagrange multiplier
Spatial error correlation

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2009.04.008

Cite this

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title = "Spatial lag test with equal weights",

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.",

keywords = "Equal weights, Lagrange multiplier, Spatial error correlation",

author = "Baltagi, {Badi H.} and Long Liu",

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T1 - Spatial lag test with equal weights

AU - Baltagi, Badi H.

AU - Liu, Long

PY - 2009/8

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N2 - 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.

AB - 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.

KW - Equal weights

KW - Lagrange multiplier

KW - Spatial error correlation

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VL - 104

SP - 81

EP - 82

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Spatial lag test with equal weights

Abstract

Keywords

ASJC Scopus subject areas

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