Improved Lagrange multiplier tests in spatial autoregressions

Robinson, Peter M. and Rossi, Francesca (2014) Improved Lagrange multiplier tests in spatial autoregressions. Econometrics Journal, 17 (1). pp. 139-164. ISSN 1368-4221

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Abstract

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.

Item Type:	Article
Official URL:	http://www.res.org.uk/view/econometricshome.html
Additional Information:	© 2013 The Authors
Divisions:	Economics
Subjects:	H Social Sciences > HB Economic Theory
JEL classification:	C - Mathematical and Quantitative Methods > C0 - General
Date Deposited:	11 Mar 2014 15:46
Last Modified:	16 Mar 2024 05:36
Projects:	ES/J007242/1
Funders:	Economic and Social Research Council
URI:	http://eprints.lse.ac.uk/id/eprint/56049

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