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On the Lagrange multiplier test for spatial correlation in econometric models

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Abstract

The Lagrange multiplier test for spatially correlated dependent variables is studied. Direct proofs are given for the asymptotic χ2(1) distribution of the test statistic. Conditions for asymptotics are given in terms of matrices of explanatory variables and of spatial weights. The behavior of the test statistic is highlighted by examples.

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Author information

Authors and Affiliations

  1. Institute of Mathematics and Informatics, Kossuth University, P.O. Box 12, H-4010, Debrecen, Hungary

    I. Fazekas

  2. Department of Economics, Odense University, Campusvej, 55, DK-5230, Odense M, Denmark

    J. Lauridsen

Authors
  1. I. Fazekas
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  2. J. Lauridsen
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Additional information

The research was accomplished while this author was on leave from Kossuth University, Debrecen, Hungary.

Proceedings of the Seminar on Stability Problems for Stochastic Models, Hajdúszoboszló, Hungary, 1997, Part III.

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Fazekas, I., Lauridsen, J. On the Lagrange multiplier test for spatial correlation in econometric models. J Math Sci 93, 515–520 (1999). https://doi.org/10.1007/BF02365057

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  • DOI: https://doi.org/10.1007/BF02365057

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