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


Fall 9-2015


Double Length Regression, Spatial Lag Dependence, Spatial Error Dependence, Artificial Regressions, Panel Data, Fixed Effects




Working Papers Series


Econometrics | Economics | Income Distribution | Public Affairs, Public Policy and Public Administration



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.

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