Abstract
We consider an extended spatial autoregressive model that can incorporate possible endogenous interactions, exogenous interactions, unobserved group fixed effects and the correlation of unobservables. In the generalized method of moments (GMM) and the maximum likelihood (ML) frameworks, we introduce simple gradient-based robust test statistics that can be used to test for the presence of the endogenous effects, the correlation of unobservables and the contextual effects. These test statistics are robust to local parametric misspecifications and only require consistent estimates from a transformed linear regression model to compute. We carry out an extensive Monte Carlo study to investigate the size and power properties of the proposed tests. The results show that the proposed tests have good finite sample properties, and are useful for testing the presence of the various effects in a social interaction model.
| Original language | English |
|---|---|
| Pages (from-to) | 212-246 |
| Number of pages | 35 |
| Journal | Spatial Economic Analysis |
| Volume | 13 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 3 Apr 2018 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2017 Regional Studies Association.
Funding
This research was supported, in part, under the National Science Foundation (NSF) [grant numbers CNS-0958379, CNS-0855217 and ACI-1126113] and the City University of New York High Performance Computing Center at the College of Staten Island.
| Funders | Funder number |
|---|---|
| City University of New York High Performance Computing Center at the College of Staten Island | |
| National Science Foundation | CNS-0958379, ACI-1126113, CNS-0855217 |
Keywords
- Lagrange multiplier (LM) tests
- endogenous effects
- generalized method of moments (GMM) inference
- local misspecification
- robust LM test
- social interactions
- spatial dependence