Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions
ISBN: 978-1-78560-787-5, eISBN: 978-1-78560-786-8
Publication date: 23 June 2016
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.
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Acknowledgements
Acknowledgements
We dedicate this paper in honor of Aman Ullah’s many contributions to econometrics. We would like to thank two anonymous referees for their helpful comments and suggestions.
Citation
Badi, H.B. and Long, L. (2016), "Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions", Essays in Honor of man Ullah (Advances in Econometrics, Vol. 36), Emerald Group Publishing Limited, Leeds, pp. 67-84. https://doi.org/10.1108/S0731-905320160000036012
Publisher
:Emerald Group Publishing Limited
Copyright © 2016 Emerald Group Publishing Limited