TY - JOUR
T1 - Simple diagnostic tests for spatial dependence
AU - Anselin, Luc
AU - Bera, Anil K.
AU - Florax, Raymond
AU - Yoon, Mann J.
N1 - Funding Information:
Anselin's researchw as supportedi n part by Grant SES 88-10917t o the National Center for GeographicI nformationand Analysis (NCGIA) from the U.S. National Science Foundation. Beta gratefully acknowledges
Funding Information:
financial support from the Department of Economics, the Research Board, and the Bureau of Economic and Business Research of the University of Illinois. The authors wish to thank Joel Horowitz, the referees, and the editor for helpful comments on an earlier version of the paper. However, they retain the possibility for any remaining errors. Programming assistance from Marc Loman is greatly appreciated. An earlier version of the paper was presented at the Midwest Econometric Association Meetings, Iowa City, IA, September 1994.
Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 1996/2
Y1 - 1996/2
N2 - In this paper we propose simple diagnostic tests, based on ordinary least-squares (OLS) residuals, for spatial error autocorrelation in the presence of a spatially lagged dependent variable and for spatial lag dependence in the presence of spatial error autocorrelation, applying the modified Lagrange multiplier (LM) test developed by Bera and Yoon (Econometric Theory, 1993, 9, 649-658). Our new tests may be viewed as computationally simple and robust alternatives to some existing procedures in spatial econometrics. We provide empirical illustrations to demonstrate the usefulness of the proposed tests. The finite sample size and power performance of the tests are also investigated through a Monte Carlo study. The results indicate that the adjusted LM tests have good finite sample properties. In addition, they prove to be more suitable for the identification of the source of dependence (lag or error) than their unadjusted counterparts.
AB - In this paper we propose simple diagnostic tests, based on ordinary least-squares (OLS) residuals, for spatial error autocorrelation in the presence of a spatially lagged dependent variable and for spatial lag dependence in the presence of spatial error autocorrelation, applying the modified Lagrange multiplier (LM) test developed by Bera and Yoon (Econometric Theory, 1993, 9, 649-658). Our new tests may be viewed as computationally simple and robust alternatives to some existing procedures in spatial econometrics. We provide empirical illustrations to demonstrate the usefulness of the proposed tests. The finite sample size and power performance of the tests are also investigated through a Monte Carlo study. The results indicate that the adjusted LM tests have good finite sample properties. In addition, they prove to be more suitable for the identification of the source of dependence (lag or error) than their unadjusted counterparts.
KW - Lagrange multiplier tests
KW - Local mis-specification
KW - Monte Carlo studies
KW - Spatial autocorrelation
KW - Specification tests
UR - http://www.scopus.com/inward/record.url?scp=0029794979&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0029794979&partnerID=8YFLogxK
U2 - 10.1016/0166-0462(95)02111-6
DO - 10.1016/0166-0462(95)02111-6
M3 - Article
AN - SCOPUS:0029794979
SN - 0166-0462
VL - 26
SP - 77
EP - 104
JO - Regional Science and Urban Economics
JF - Regional Science and Urban Economics
IS - 1
ER -