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Journal of Geographical Systems

, Volume 9, Issue 3, pp 253–265 | Cite as

Spatial cointegration and heteroscedasticity

  • Jørgen LauridsenEmail author
  • Reinhold Kosfeld
Original Article

Abstract

A two-step Lagrange Multiplier test strategy has recently been suggested as a tool to reveal spatial cointegration. The present paper generalises the test procedure by incorporating control for unobserved heteroscedasticity. Using Monte Carlo simulation, the behaviour of several relevant tests for spatial cointegration and/or heteroscedasticity is investigated. The two-step test for spatial cointegration appears to be robust towards heteroscedasticity. While several tests for heteroscedasticity prove to be inconclusive under certain circumstances, a Lagrange Multiplier test for heteroscedasticity based on spatially differenced variables is shown to serve well as an indication of heteroscedasticity irrespective of cointegration status.

Keywords

Spatial autocorrelation Spatial autoregression Spatial nonstationarity Spatial cointegration Unobserved heteroscedasticity 

JEL Classifications

C21 C40 C51 J60 

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Copyright information

© Springer-Verlag 2007

Authors and Affiliations

  1. 1.Institute of Public Health, Health EconomicsOdense MDenmark
  2. 2.Department of EconomicsUniversity of KasselKasselGermany

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