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 2013
• 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/2255; https://ink.library.smu.edu.sg/context/soe_research/article/3254/viewcontent/Baltagi_et_al_2013_The_Econometrics_Journal.pdf
• Institution: Singapore Management University

The robustness of the Lagrange Multiplier (LM) tests for spatial error dependence of Burridge (1980) and Born and Breitung (2011) for the linear regression model, and Anselin (1988) and Debarsy and Etur (2010) for the panel regression model with random or fixed effects are examined. While all tests...