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

Disciplines

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

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.

ISSN

1525-3066

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.

wp183.pdf (370 kB)
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Source

Local input

Creative Commons License

Creative Commons Attribution 3.0 License
This work is licensed under a Creative Commons Attribution 3.0 License.

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