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Full-Text Articles in Econometrics
Testing For Spatial Lag And Spatial Error Dependence In A Fixed Effects Panel Data Model Using Double Length Artificial Regressions, Badi H. Baltagi, Long Liu
Testing For Spatial Lag And Spatial Error Dependence In A Fixed Effects Panel Data Model Using Double Length Artificial Regressions, Badi H. Baltagi, Long Liu
Center for Policy Research
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.