Double-Length Regression tests for testing functional forms and spatial error dependence

In this paper we derive test statistics based on Double-Length Regressions (DLRs) for testing functional forms and spatial error dependence. These DLR tests are computationally simple. Their Monte Carlo performance is similar to that of the Hessian-based Lagrangian Multiplier tests.

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Bibliographic Details
Published in:Economics letters 2008-12, Vol.101 (3), p.253-257
Main Authors: Le, Canh Quang, Li, Dong
Format: Article
Language:English
Subjects:
Box–Cox
Double-Length Regression
Double-Length Regression Spatial error dependence Box-Cox
Error
Regression analysis
Space economics
Spatial error dependence
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Description
Summary:In this paper we derive test statistics based on Double-Length Regressions (DLRs) for testing functional forms and spatial error dependence. These DLR tests are computationally simple. Their Monte Carlo performance is similar to that of the Hessian-based Lagrangian Multiplier tests.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2008.08.023