Template-Type: ReDIF-Paper 1.0
Title: Simple Regression Based Tests for Spatial Dependence
Author-Name: Benjamin Born
Author-Email: bborn@uni-bonn.de
Author-Name: Jörg Breitung
Author-Email: breitung@uni-bonn.de
Classification-JEL: C12, C21
Keywords: LM test, Moran I test, spatial correlation
Abstract: We propose two simple diagnostic tests for spatial error autocorrelation and spatial lag
	dependence. The idea is to reformulate the testing problem such that the test statistics
	are asymptotically equivalent to the familiar LM test statistics. Specically, our version
	of the test is based on a simple auxiliary regression and an ordinary regression t-statistic
	can be used to test for spatial autocorrelation and lag dependence. We also propose a
	variant of the test that is robust to heteroskedasticity. This approach gives practitioners
	an easy to implement and robust alternative to existing tests. Monte Carlo studies show
	that our variants of the spatial LM tests possess comparable size and power properties
	even in small samples.
Note: 
Length: 18
Creation-Date: 2009-10
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse23_2009.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse23_2009