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

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)67-84
Number of pages18
JournalAdvances in Econometrics
Volume36
DOIs
StatePublished - 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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