Robinson, Peter M. and Rossi, Francesca (2014) Improved Lagrange multiplier tests in spatial autoregressions. The Econometrics Journal, 17 (1). pp. 139-164. ISSN 1368-4221
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For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (χ2) first-order asymptotic approximation to critical values can be poor in small samples. We develop refined tests for lack of spatial error correlation in regressions, based on Edgeworth expansion. In Monte Carlo simulations, these tests, and bootstrap tests, generally significantly outperform χ2-based tests.
|Additional Information:||© 2013 The Authors|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C0 - General|
|Sets:||Departments > Economics|
|Funders:||Economic and Social Research Council|
|Date Deposited:||11 Mar 2014 15:46|
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