Improved Lagrange multiplier tests in spatial autoregressions. Issue 1 (21st January 2014)
- Record Type:
- Journal Article
- Title:
- Improved Lagrange multiplier tests in spatial autoregressions. Issue 1 (21st January 2014)
- Main Title:
- Improved Lagrange multiplier tests in spatial autoregressions
- Authors:
- Robinson, Peter M.
Rossi, Francesca - Abstract:
- <abstract abstract-type="main"> <title>Summary</title> <p>For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (χ<sup>2</sup>) first‐order asymptotic approximation to critical values can be poor in small samples. We develop refined tests for lack of spatial error correlation in regressions, based on Edgeworth expansion. In Monte Carlo simulations, these tests, and bootstrap tests, generally significantly outperform χ<sup>2</sup>‐based tests.</p> </abstract>
- Is Part Of:
- Econometrics journal. Volume 17:Issue 1(2014)
- Journal:
- Econometrics journal
- Issue:
- Volume 17:Issue 1(2014)
- Issue Display:
- Volume 17, Issue 1 (2014)
- Year:
- 2014
- Volume:
- 17
- Issue:
- 1
- Issue Sort Value:
- 2014-0017-0001-0000
- Page Start:
- 139
- Page End:
- 164
- Publication Date:
- 2014-01-21
- Subjects:
- Econometrics -- Periodicals
330.015195 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1368-423X ↗
https://academic.oup.com/ectj ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/ectj.12025 ↗
- Languages:
- English
- ISSNs:
- 1368-4221
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3650.112500
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 4170.xml