Testing for a structural break in the weight matrix of the spatial error or spatial lag model. Issue 2 (3rd July 2017)

• Record Type: Journal Article
• Authors: Angulo, Ana; Burridge, Peter; Mur, Jesus
• Is Part Of: Spatial economic analysis. Volume 12:Issue 2/3(2017)
• Page Start: 161
• Page End: 181
• Publication Date: 2017-07-03
• Subjects: weights matrix -- estimation of W -- parametric structural break tests -- exchange rate pass through; 权重矩阵 -- W估计量的评估 -- 参数结构性断裂检定 -- 匯率转嫁; matrice des poids -- estimation de W -- tests paramétriques de la rupture structurelle -- incidence des taux de change; matriz de pesos -- estimación de W -- contrastes paramétricos de ruptura estructural -- transmisión del tipo de cambio; C4 -- C5 -- R1; Space in economics -- Periodicals; Economic geography -- Periodicals; Space in economics -- Econometric models -- Periodicals; Urbanization -- Periodicals; Espace (Économie politique) -- Périodiques; Économétrie -- Périodiques; Géographie économique -- Périodiques; Économie industrielle -- Périodiques; Économie du travail -- Périodiques; Économie urbaine -- Périodiques; Politique économique -- Périodiques; Relations économiques internationales -- Périodiques; 330.9
• DOI: 10.1080/17421772.2016.1264620
• Languages: English
• ISSNs: 1742-1772

Abstract

ABSTRACT: Testing for a structural break in the weight matrix of the spatial error or spatial lag model. Spatial Economic Analysis . This paper studies the weight matrix in the two generic spatial econometric models, allowing the friction-of-distance parameter to be freely estimated by (Gaussian) maximum likelihood. It shows that in samples of moderate size it is perfectly feasible to estimate both the distance-decay coefficient that shapes the weights, and the usual SEM/SLM coefficient, and to test for a change in the former at an unknown change point. The procedure is easily extended to test for changes in other parameters. Tests of empirical size and power are investigated by Monte Carlo experiment, and the test is applied to a model of exchange rate pass through, with clear results.