Simple diagnostic tests for spatial dependence

In this paper we propose simple diagnostic tests, based on ordinary least-squares (OLS) residuals, for spatial error autocorrelation in the presence of a spatially lagged dependent variable and for spatial lag dependence in the presence of spatial error autocorrelation, applying the modified Lagrang...

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Published in:Regional science and urban economics 1996-02, Vol.26 (1), p.77-104
Main Authors: Anselin, Luc, Bera, Anil K., Florax, Raymond, Yoon, Mann J.
Format: Article
Language:English
Subjects:
Dependency
Econometric models
Economic Theory
General Economics
Lagrange multiplier tests
Local misspecification
MGS
Monte Carlo studies
Regression analysis
Spatial autocorrelation
Specification tests
Staathuishoudkunde
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container_title Regional science and urban economics
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creator Anselin, Luc
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description In this paper we propose simple diagnostic tests, based on ordinary least-squares (OLS) residuals, for spatial error autocorrelation in the presence of a spatially lagged dependent variable and for spatial lag dependence in the presence of spatial error autocorrelation, applying the modified Lagrange multiplier (LM) test developed by Bera and Yoon ( Econometric Theory, 1993, 9, 649–658). Our new tests may be viewed as computationally simple and robust alternatives to some existing procedures in spatial econometrics. We provide empirical illustrations to demonstrate the usefulness of the proposed tests. The finite sample size and power performance of the tests are also investigated through a Monte Carlo study. The results indicate that the adjusted LM tests have good finite sample properties. In addition, they prove to be more suitable for the identification of the source of dependence (lag or error) than their unadjusted counterparts.
doi_str_mv 10.1016/0166-0462(95)02111-6
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ispartof Regional science and urban economics, 1996-02, Vol.26 (1), p.77-104
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source International Bibliography of the Social Sciences (IBSS); ScienceDirect Freedom Collection; Worldwide Political Science Abstracts
subjects Dependency
Econometric models
Economic Theory
General Economics
Lagrange multiplier tests
Local misspecification
MGS
Monte Carlo studies
Regression analysis
Spatial autocorrelation
Specification tests
Staathuishoudkunde
title Simple diagnostic tests for spatial dependence
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