Abstract
In this note, we compare three test statistics that have been suggested to assess the presence of spatial error autocorrelation in probit models. We highlight the differences between the tests proposed by Pinkse and Slade (J Econom 85(1):125-254, 1998), Pinkse (Asymptotics of the Moran test and a test for spatial correlation in Probit models, 1999; Advances in Spatial Econometrics, 2004) and Kelejian and Prucha (J Econom 104(2):219-257, 2001), and compare their properties in a extensive set of Monte Carlo simulation experiments both under the null and under the alternative. We also assess the conjecture by Pinkse (Asymptotics of the Moran test and a test for spatial correlation in Probit models, 1999) that the usefulness of these test statistics is limited when the explanatory variables are spatially correlated. The Kelejian and Prucha (J Econom 104(2):219-257, 2001) generalized Moran's I statistic turns out to perform best, even in medium sized samples of several hundreds of observations. The other two tests are acceptable in very large samples.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 91-101 |
| Number of pages | 11 |
| Journal | Letters in Spatial and Resource Sciences |
| Volume | 6 |
| Issue number | 2 |
| DOIs | |
| State | Published - Jul 2013 |
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Keywords
- Moran's I
- Spatial econometrics
- Spatial probit
ASJC Scopus subject areas
- Geography, Planning and Development
- Demography
- Urban Studies
- Economics and Econometrics
Cite this
Testing for spatial error dependence in probit models. / Amaral, Pedro V.; Anselin, Luc; Arribas-Bel, Daniel.
In: Letters in Spatial and Resource Sciences, Vol. 6, No. 2, 07.2013, p. 91-101.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Testing for spatial error dependence in probit models
AU - Amaral, Pedro V.
AU - Anselin, Luc
AU - Arribas-Bel, Daniel
PY - 2013/7
Y1 - 2013/7
N2 - In this note, we compare three test statistics that have been suggested to assess the presence of spatial error autocorrelation in probit models. We highlight the differences between the tests proposed by Pinkse and Slade (J Econom 85(1):125-254, 1998), Pinkse (Asymptotics of the Moran test and a test for spatial correlation in Probit models, 1999; Advances in Spatial Econometrics, 2004) and Kelejian and Prucha (J Econom 104(2):219-257, 2001), and compare their properties in a extensive set of Monte Carlo simulation experiments both under the null and under the alternative. We also assess the conjecture by Pinkse (Asymptotics of the Moran test and a test for spatial correlation in Probit models, 1999) that the usefulness of these test statistics is limited when the explanatory variables are spatially correlated. The Kelejian and Prucha (J Econom 104(2):219-257, 2001) generalized Moran's I statistic turns out to perform best, even in medium sized samples of several hundreds of observations. The other two tests are acceptable in very large samples.
AB - In this note, we compare three test statistics that have been suggested to assess the presence of spatial error autocorrelation in probit models. We highlight the differences between the tests proposed by Pinkse and Slade (J Econom 85(1):125-254, 1998), Pinkse (Asymptotics of the Moran test and a test for spatial correlation in Probit models, 1999; Advances in Spatial Econometrics, 2004) and Kelejian and Prucha (J Econom 104(2):219-257, 2001), and compare their properties in a extensive set of Monte Carlo simulation experiments both under the null and under the alternative. We also assess the conjecture by Pinkse (Asymptotics of the Moran test and a test for spatial correlation in Probit models, 1999) that the usefulness of these test statistics is limited when the explanatory variables are spatially correlated. The Kelejian and Prucha (J Econom 104(2):219-257, 2001) generalized Moran's I statistic turns out to perform best, even in medium sized samples of several hundreds of observations. The other two tests are acceptable in very large samples.
KW - Moran's I
KW - Spatial econometrics
KW - Spatial probit
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U2 - 10.1007/s12076-012-0089-9
DO - 10.1007/s12076-012-0089-9
M3 - Article
VL - 6
SP - 91
EP - 101
JO - Letters in Spatial and Resource Sciences
JF - Letters in Spatial and Resource Sciences
SN - 1864-4031
IS - 2
ER -