A Simple and Robust Method of Inference for Spatial Lag Dependence

• Main Authors: YANG, Zhenlin, SHEN, Yan
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2011
• 主題: Spatial dependence; Confidence interval; LM Tests; Centering; Rescaling; Finite sample performance; Robustness; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/1407; https://ink.library.smu.edu.sg/context/soe_research/article/2406/viewcontent/YangShen2011.pdf

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...