Description/Abstract
This paper revisits the joint and conditional Lagrange Multiplier tests derived by Debarsy and Ertur (2010) for a fixed effects spatial lag regression model with spatial auto-regressive error, and derives these tests using artificial Double Length Regressions (DLR). These DLR tests and their corresponding LM tests are compared using an empirical example and a Monte Carlo simulation.
Document Type
Working Paper
Date
Fall 9-2015
Keywords
Double Length Regression, Spatial Lag Dependence, Spatial Error Dependence, Artificial Regressions, Panel Data, Fixed Effects
Language
English
Series
Working Papers Series
Disciplines
Econometrics | Economics | Income Distribution | Public Affairs, Public Policy and Public Administration
ISSN
1525-3066
Recommended Citation
Baltagi, Badi H. and Liu, Long, "Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions" (2015). Center for Policy Research. 215.
https://surface.syr.edu/cpr/215
Accessible PDF version
Source
Local input
Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.
Included in
Econometrics Commons, Income Distribution Commons, Public Affairs, Public Policy and Public Administration Commons
Additional Information
Working paper no. 183
The authors dedicate this paper in honor of Aman Ullah’s many contributions to econometrics. They would like to thank two anonymous referees for their helpful comments and suggestions.