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