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Title:Simple regression based tests for spatial dependence PDF Logo
Authors:Born, Benjamin
Breitung, Jörg
Issue Date:2009
Series/Report no.:Bonn econ discussion papers 2009,23
Abstract:We propose two simple diagnostic tests for spatial error autocorrelation and spatial lag dependence. The idea is to reformulate the testing problem such that the test statistics are asymptotically equivalent to the familiar LM test statistics. Specifically, our version of the test is based on a simple auxiliary regression and an ordinary regression t-statistic can be used to test for spatial autocorrelation and lag dependence. We also propose a variant of the test that is robust to heteroskedasticity. This approach gives practitioners an easy to implement and robust alternative to existing tests. Monte Carlo studies show that our variants of the spatial LM tests possess comparable size and power properties even in small samples.
Subjects:LM test
Moran I test
spatial correlation
JEL:C12
C21
Document Type:Working Paper
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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