Improved Lagrange multiplier tests for spatial autoregressions
Improved Lagrange multiplier tests for spatial autoregressions
For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (X2) first-order asymptotic approximation to critical values can be poor in small samples. We develop refined tests for lack of spatial error correlation in regressions, based on Edgeworth expansion. In Monte Carlo simulations these tests, and bootstrap ones, generally significantly outperform X2 based tests.
Rossi, Francesca
1cdd87b3-bc01-40b0-ad91-0db0ee24e8e0
Robinson, Peter
705fb6ca-9923-41e2-89d4-96dc5e9ea0cb
February 2014
Rossi, Francesca
1cdd87b3-bc01-40b0-ad91-0db0ee24e8e0
Robinson, Peter
705fb6ca-9923-41e2-89d4-96dc5e9ea0cb
Rossi, Francesca and Robinson, Peter
(2014)
Improved Lagrange multiplier tests for spatial autoregressions.
Discussion Papers in Economics and Econometrics No 0916, 17 (1).
(doi:10.1111/ectj.12025).
Abstract
For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (X2) first-order asymptotic approximation to critical values can be poor in small samples. We develop refined tests for lack of spatial error correlation in regressions, based on Edgeworth expansion. In Monte Carlo simulations these tests, and bootstrap ones, generally significantly outperform X2 based tests.
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e-pub ahead of print date: 21 January 2014
Published date: February 2014
Organisations:
Economics
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Local EPrints ID: 358975
URI: http://eprints.soton.ac.uk/id/eprint/358975
ISSN: 0966-4246
PURE UUID: 78f632dc-79c9-4b06-8c14-942883fd1a61
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Date deposited: 18 Oct 2013 13:56
Last modified: 14 Mar 2024 15:12
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Author:
Francesca Rossi
Author:
Peter Robinson
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