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Improved Lagrange multiplier tests in spatial autoregressions: improved LM tests for SAR models

Improved Lagrange multiplier tests in spatial autoregressions: improved LM tests for SAR models
Improved Lagrange multiplier tests in spatial autoregressions: improved LM tests for SAR models
For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (χ2) 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 tests, generally significantly outperform χ2‐based tests.
1368-4221
139-164
Robinson, Peter M.
edc1b0dd-75cb-47f4-8839-f21e5904b23a
Rossi, Francesca
1cdd87b3-bc01-40b0-ad91-0db0ee24e8e0
Robinson, Peter M.
edc1b0dd-75cb-47f4-8839-f21e5904b23a
Rossi, Francesca
1cdd87b3-bc01-40b0-ad91-0db0ee24e8e0

Robinson, Peter M. and Rossi, Francesca (2014) Improved Lagrange multiplier tests in spatial autoregressions: improved LM tests for SAR models. The Econometrics Journal, 17 (1), 139-164. (doi:10.1111/ectj.12025).

Record type: Article

Abstract

For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (χ2) 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 tests, generally significantly outperform χ2‐based tests.

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Published date: 1 February 2014

Identifiers

Local EPrints ID: 499106
URI: http://eprints.soton.ac.uk/id/eprint/499106
DOI: doi:10.1111/ectj.12025
ISSN: 1368-4221
PURE UUID: 8264a7f9-8a47-4044-9dcf-9cc7f57e06f9

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Date deposited: 07 Mar 2025 18:21
Last modified: 07 Mar 2025 18:21

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Contributors

Author: Peter M. Robinson
Author: Francesca Rossi

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