Simple tests for endogeneity of spatial weights matrices

Anil K. Bera, Osman Doğan*, Süleyman Taşpınar

*Bu çalışma için yazışmadan sorumlu yazar

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7 Atıf (Scopus)

Özet

In this study, we propose a Rao's score (RS) statistic (Lagrange multiplier (LM) statistic) to test for endogeneity of the spatial weights matrix in a spatial autoregressive model. To achieve this, we start with a spatial autoregressive model with an acceptable form for the generating process for the elements of the endogenous spatial weights matrix as in Qu and Lee (2015). Our test statistic is simple to calculate because it requires computationally simple estimations. By construction, the test statistic is robust in the sense that its asymptotic null distribution is a centered chi-square distribution regardless of the (local) presence of a spatial autoregressive parameter in the alternative model. We summarize the asymptotic properties of our test statistic under the null and the alternative hypotheses. To investigate its finite sample size and power properties, we conduct a Monte Carlo study. The results are in line with our theoretical findings and indicate that the robust test has good size and power properties.

Orijinal dilİngilizce
Sayfa (başlangıç-bitiş)130-142
Sayfa sayısı13
DergiRegional Science and Urban Economics
Hacim69
DOI'lar
Yayın durumuYayınlandı - Mar 2018
Harici olarak yayınlandıEvet

Bibliyografik not

Publisher Copyright:
© 2018 Elsevier B.V.

Finansman

This research was supported, in part, under National Science Foundation Grants CNS-0958379, CNS-0855217, ACI-1126113 and the City University of New York High Performance Computing Center at the College of Staten Island. This research was supported, in part, under National Science Foundation Grants CNS-0958379 , CNS-0855217 , ACI-1126113 and the City University of New York High Performance Computing Center at the College of Staten Island. Appendix A

FinansörlerFinansör numarası
National Science FoundationCNS-0958379, ACI-1126113, CNS-0855217
Center for the Study of Philanthropy, City University of New York
National Science Foundation

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