Book cover for Essays in Honor of Aman Ullah
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Advances in Econometrics
Essays in Honor of Aman Ullah
Author and Other Information
Emerald Group Publishing Limited
Volume
36
DOI:
https://doi.org/10.1108/S0731-9053201636
ISBN electronic:
978-1-78560-786-8
ISBN print:
978-1-78560-787-5
Series ISSN:
0731-9053
Publication date:
2016
Book Chapter

Testing for Spatial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions

By
H. Baltagi Badi;
H. Baltagi Badi
aDepartment of Economics and Center for Policy Research, Syracuse University, Syracuse, NY, USA
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Liu Long
Liu Long
bDepartment of Economics, University of Texas at San Antonio, San Antonio, TX, USA
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This Site
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Author and Other Information
H. Baltagi Badi
aDepartment of Economics and Center for Policy Research, Syracuse University, Syracuse, NY, USA
Liu Long
bDepartment of Economics, University of Texas at San Antonio, San Antonio, TX, USA
Copyright © 2016 Emerald Group Publishing Limited
2016
Emerald Group Publishing Limited
Doi:
https://doi.org/10.1108/S0731-905320160000036012
  • Published:
    2016
Copyright © 2016 Emerald Group Publishing Limited
2016
Emerald Group Publishing Limited

Abstract

This paper revisits the joint and conditional Lagrange multiplier tests derived by Debarsy and Ertur (2010) for a fixed effects spatial lag regression model with spatial autoregressive error, and derives these tests using artificial double length regressions (DLR). These DLR tests and their corresponding LM tests are compared using an empirical example and a Monte Carlo simulation.

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