Journal of Mathematical Sciences

, Volume 93, Issue 4, pp 515–520 | Cite as

On the Lagrange multiplier test for spatial correlation in econometric models

  • I. Fazekas
  • J. Lauridsen
Article
  • 47 Downloads

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.

Keywords

Explanatory Variable Lagrange Multiplier Spatial Correlation Econometric Model Direct Proof 

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Copyright information

© Kluwer Academic/Plenum Publishers 1999

Authors and Affiliations

  • I. Fazekas
    • 1
  • J. Lauridsen
    • 2
  1. 1.Institute of Mathematics and InformaticsKossuth UniversityDebrecenHungary
  2. 2.Department of EconomicsOdense UniversityOdense MDenmark

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