LM tests of spatial dependence based on bootstrap critical values

• Main Author: YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Asymptotic refinements; Bootstrap; Edgeworth expansion; LM tests; Spatial dependence; Size; Power; Local misspecification; Heteroskedasticity; Wild bootstrap; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1605; https://ink.library.smu.edu.sg/context/soe_research/article/2604/viewcontent/Yang_JOE3102014.pdf
• Institution: Singapore Management University

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which becom...