Testing for spatial lag and spatial error dependence using double length artificial regressions

Badi H. Baltagi, Long Liu

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

This paper obtains the joint and conditional Lagrange multiplier (LM) tests for a spatial lag regression model with spatial auto-regressive error derived in Anselin (Reg Sci Urban Ecom 26:77-104, 1996) using artificial double length regressions (DLR). These DLR tests and their corresponding LM tests are compared using an illustrative example and a Monte Carlo simulation.

Original languageEnglish (US)
Pages (from-to)477-486
Number of pages10
JournalStatistical Papers
Volume55
Issue number2
DOIs
StatePublished - May 2014

Keywords

  • Artificial regressions
  • Double length regression
  • Spatial error dependence
  • Spatial lag dependence

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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