An Extension of the J‐Test to a Spatial Panel Data Framework. (5th January 2015)

• Record Type: Journal Article
• Authors: Kelejian, Harry H.; Piras, Gianfranco
• Is Part Of: Journal of applied econometrics. Volume 31:Number 2(2016)
• Page Start: 387
• Page End: 402
• Publication Date: 2015-01-05
• Subjects: Econometrics -- Periodicals; 330.015195
• DOI: 10.1002/jae.2425
• Languages: English
• ISSNs: 0883-7252

Abstract

Summary: Kelejian ( Letters in Spatial and Resources Sciences ;1 : 3–11) extended the J ‐test procedure to a spatial framework. Although his suggested test was computationally simple and intuitive, it did not use the available information in an efficient manner. Kelejian and Piras ( Regional Science and Urban Economics ;41 : 281–292) generalized and modified Kelejian's test to account for all the available information. However, neither Kelejian (2008 ) nor Kelejian & Piras (2011 ) considered a panel data framework. In this paper we generalize these earlier works to a panel data framework with fixed effects and additional endogenous variables. We give theoretical as well as Monte Carlo results relating to our suggested tests. An empirical application on a crime model for North Carolina is also estimated. Copyright © 2015 John Wiley & Sons, Ltd.