Standardized LM Tests for Spatial Error Dependence in Linear or Panel Regressions

• Main Authors: BALTAGI, Badi H., YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Distributional misspecification; Group interaction; LM test; Moran’s ITest; Robustness; Spatial panel models; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1896; https://ink.library.smu.edu.sg/context/soe_research/article/2896/viewcontent/Standardized_LM_Tests_for_Spatial_Error_Dependence_in_Linear_or_P.pdf
• Institution: Singapore Management University

The robustness of the LM tests for spatial error dependence of Burridge (1980) for the linear regression model and Anselin (1988) for the panel regression model are examined. While both tests are asymptotic ally robust against distributional misspecification, their finite sample behavior can be sens...