Testing for spatial lag and spatial error dependence in a fixed effects panel data model using double length artificial regressions

Badi H. Baltagi; Long Liu

doi:10.1108/S0731-905320160000036012

Testing for spatial lag and spatial error dependence in a fixed effects panel data model using double length artificial regressions

Badi H. Baltagi, Long Liu

Department of Economics

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

1 Scopus citations

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.

Original language	English (US)
Pages (from-to)	67-84
Number of pages	18
Journal	Advances in Econometrics
Volume	36
DOIs	https://doi.org/10.1108/S0731-905320160000036012
State	Published - 2016

Keywords

Artificial regressions
Double length regression
Fixed effects
Panel data
Spatial error dependence
Spatial lag dependence

ASJC Scopus subject areas

Economics and Econometrics

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10.1108/S0731-905320160000036012

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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.",

keywords = "Artificial regressions, Double length regression, Fixed effects, Panel data, Spatial error dependence, Spatial lag dependence",

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AB - 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.

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KW - Double length regression

KW - Fixed effects

KW - Panel data

KW - Spatial error dependence

KW - Spatial lag dependence

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JO - Advances in Econometrics

JF - Advances in Econometrics

ER -

Testing for spatial lag and spatial error dependence in a fixed effects panel data model using double length artificial regressions

Abstract

Keywords

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