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Lag or Error? — Detecting the Nature of Spatial Correlation

  • Mario Larch
  • Janette Walde
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)

Abstract

Theory often suggests spatial correlations without being explicit about the exact form. Hence, econometric tests are used for model choice. So far, mainly Lagrange Multiplier tests based on ordinary least squares residuals are employed to decide whether and in which form spatial correlation is present in Cliff-Ord type spatial models. In this paper, the model selection is based both on likelihood ratio and Wald tests using estimates for the general model and information criteria. The results of the conducted large Monte Carlo study suggest that Wald tests on the spatial parameters after estimation of the general model are the most reliable approach to reveal the nature of spatial correlation.

Keywords

Ordinary Little Square Wald Test Data Generate Process Spatial Error Model Lagrange Multiplier Test 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Mario Larch
    • 1
  • Janette Walde
    • 2
  1. 1.ifo Institute for Economic Research at the University of MunichMunichGermany
  2. 2.Department of StatisticsUniversity of Innsbruck, Faculty of Economics and StatisticsInnsbruckAustria

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