Simple Regression Based Tests for Spatial Dependence

Arbeitspapier

We propose two simple diagnostic tests for spatial error autocorrelation and spatial lag dependence. The idea is to reformulate the testing problem such that the test statistics are asymptotically equivalent to the familiar LM test statistics. Speci cally, our version of the test is based on a simple auxiliary regression and an ordinary regression t-statistic can be used to test for spatial autocorrelation and lag dependence. We also propose a variant of the test that is robust to heteroskedasticity. This approach gives practitioners an easy to implement and robust alternative to existing tests. Monte Carlo studies show that our variants of the spatial LM tests possess comparable size and power properties even in small samples.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bonn Econ Discussion Papers ; No. 23/2009

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
• Thema: LM test ; Moran I test ; spatial correlation ; Räumliche Interaktion ; Korrelation ; Autokorrelation ; Statistischer Test

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Born, Benjamin ; Breitung, Jörg
• Ereignis: Veröffentlichung
• (wer): University of Bonn, Bonn Graduate School of Economics (BGSE)
• (wo): Bonn
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/37047
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ