This note shows that for a spatial regression with equal weights, the LM test is always equal to N / 2(N - 1), where N is the sample size. This means that this test statistics is a function of N and not a function of the spatial parameter [rho]. In fact, this test statistic tends to...

This paper extends the instrumental variable estimators of Kelejian and Prucha (1998) and Lee (2003) proposed for the cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests an extension of the Baltagi (1981) error component...

This paper examines hourly wages and weekly earnings in the Outgoing Rotation Group (ORG) and the March Supplement of Current Population Survey (CPS) from 1998 to 2004. The findings suggest that the ORG contains less errors than the March CPS, and that weekly earnings contain less errors than...