Testing for Spatial Lag and Spatial Error Dependence Using Double Length Artificial Regressions
This paper obtains the joint and conditional Lagrange Multiplier tests for a spatial lag regression model with spatial auto-regressive error derived in Anselin et al. (1996) using artificial Double Length Regressions (DLR). These DLR tests and their corresponding LM tests are compared using an illustrative example and a Monte Carlo simulation. Key Words: Double Length Regression; Spatial Lag Dependence; Spatial Error Dependence; Artificial Regressions JEL No. C12, C21, R15
Year of publication: |
2012-10
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Authors: | Baltagi, Badi H. ; Liu, Long |
Institutions: | Center for Policy Research, Maxwell School |
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