Rao's score test in spatial econometrics

Luc Anselin

Research output: Contribution to journalArticle

89 Citations (Scopus)

Abstract

Rao's score test provides an extremely useful framework for developing diagnostics against hypotheses that reflect cross-sectional or spatial correlation in regression models, a major focus of attention in spatial econometrics. In this paper, a review and assessment is presented of the application of Rao's score test against three broad classes of spatial alternatives: spatial autoregressive and moving average processes, spatial error components and direct representation models. A brief review is presented of the various forms and distinctive characteristics of RS tests against spatial processes. New tests are developed against the alternatives of spatial error components and direct representation models. It is shown that these alternatives do not conform to standard regularity conditions for maximum likelihood estimation. In the case of spatial error components, the RS test does have the standard asymptotic properties, whereas Wald and Likelihood Ratio tests do not. Direct representation models yield a situation where the nuisance parameter is only identified under the alternative, such that a Davies-type approximation to the significance level of the RS test is necessary. The performance of both new RS tests is illustrated in a small number of Monte Carlo simulation experiments.

Original languageEnglish (US)
Pages (from-to)113-139
Number of pages27
JournalJournal of Statistical Planning and Inference
Volume97
Issue number1
DOIs
StatePublished - Aug 1 2001
Externally publishedYes

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Rao's Score Test
Econometrics
Alternatives
Maximum likelihood estimation
Spatial Process
Moving Average Process
Significance level
Monte Carlo Experiment
Nuisance Parameter
Spatial Correlation
Likelihood Ratio Test
Regularity Conditions
Maximum Likelihood Estimation
Asymptotic Properties
Simulation Experiment
Spatial econometrics
Score test
Regression Model
Diagnostics
Monte Carlo Simulation

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Applied Mathematics
  • Statistics and Probability

Cite this

Rao's score test in spatial econometrics. / Anselin, Luc.

In: Journal of Statistical Planning and Inference, Vol. 97, No. 1, 01.08.2001, p. 113-139.

Research output: Contribution to journalArticle

Anselin, Luc. / Rao's score test in spatial econometrics. In: Journal of Statistical Planning and Inference. 2001 ; Vol. 97, No. 1. pp. 113-139.
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