A Robust LM Test for Spatial Error Components
This paper presents a modified LM test of spatial error components, which is shown to be robust against distributional misspecifications and spatial layouts. The proposed test differs from the LM test of Anselin (2001) by a term in the denominators of the test statistics. This term disappears when e...
Saved in:
Main Author: | |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2009
|
Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/soe_research/1137 https://ink.library.smu.edu.sg/context/soe_research/article/2136/viewcontent/Yang09a.pdf |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |
id |
sg-smu-ink.soe_research-2136 |
---|---|
record_format |
dspace |
spelling |
sg-smu-ink.soe_research-21362019-04-21T14:58:57Z A Robust LM Test for Spatial Error Components YANG, Zhenlin This paper presents a modified LM test of spatial error components, which is shown to be robust against distributional misspecifications and spatial layouts. The proposed test differs from the LM test of Anselin (2001) by a term in the denominators of the test statistics. This term disappears when either the errors are normal, or the variance of the diagonal elements of the product of spatial weights matrix and its transpose is zero or approaches to zero as sample size goes large. When neither is true, as is often the case in practice, the effect of this term can be significant even when sample size is large. As a result, there can be severe size distortions of the Anselin's LM test, a phenomenon revealed by the Monte Carlo results of Anselin and Moreno (2003) and further confirmed by the Monte Carlo results presented in this paper. Our Monte Carlo results also show that the proposed test performs well in general. 2009-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1137 https://ink.library.smu.edu.sg/context/soe_research/article/2136/viewcontent/Yang09a.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Distributional misspecifications Robustness Spatial layouts Spatial error components LM tests Econometrics |
institution |
Singapore Management University |
building |
SMU Libraries |
continent |
Asia |
country |
Singapore Singapore |
content_provider |
SMU Libraries |
collection |
InK@SMU |
language |
English |
topic |
Distributional misspecifications Robustness Spatial layouts Spatial error components LM tests Econometrics |
spellingShingle |
Distributional misspecifications Robustness Spatial layouts Spatial error components LM tests Econometrics YANG, Zhenlin A Robust LM Test for Spatial Error Components |
description |
This paper presents a modified LM test of spatial error components, which is shown to be robust against distributional misspecifications and spatial layouts. The proposed test differs from the LM test of Anselin (2001) by a term in the denominators of the test statistics. This term disappears when either the errors are normal, or the variance of the diagonal elements of the product of spatial weights matrix and its transpose is zero or approaches to zero as sample size goes large. When neither is true, as is often the case in practice, the effect of this term can be significant even when sample size is large. As a result, there can be severe size distortions of the Anselin's LM test, a phenomenon revealed by the Monte Carlo results of Anselin and Moreno (2003) and further confirmed by the Monte Carlo results presented in this paper. Our Monte Carlo results also show that the proposed test performs well in general. |
format |
text |
author |
YANG, Zhenlin |
author_facet |
YANG, Zhenlin |
author_sort |
YANG, Zhenlin |
title |
A Robust LM Test for Spatial Error Components |
title_short |
A Robust LM Test for Spatial Error Components |
title_full |
A Robust LM Test for Spatial Error Components |
title_fullStr |
A Robust LM Test for Spatial Error Components |
title_full_unstemmed |
A Robust LM Test for Spatial Error Components |
title_sort |
robust lm test for spatial error components |
publisher |
Institutional Knowledge at Singapore Management University |
publishDate |
2009 |
url |
https://ink.library.smu.edu.sg/soe_research/1137 https://ink.library.smu.edu.sg/context/soe_research/article/2136/viewcontent/Yang09a.pdf |
_version_ |
1770569415188807680 |