A Simple and Robust Method of Inference for Spatial Lag Dependence

A Simple and Robust Method of Inference for Spatial Lag Dependence

A simple and reliable method of inference for the spatial parameter in spatial autoregressive models is introduced, based on a statistic obtained by centering and rescaling the numerator of the concentrated Gaussian score function. The resulted tests and confidence intervals are robust against the d...

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Bibliographic Details
Main Authors: YANG, Zhenlin, SHEN, Yan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Spatial dependence
Confidence interval
LM Tests
Centering
Rescaling
Finite sample performance
Robustness
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1407
https://ink.library.smu.edu.sg/context/soe_research/article/2406/viewcontent/YangShen2011.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1407
https://ink.library.smu.edu.sg/context/soe_research/article/2406/viewcontent/YangShen2011.pdf

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