Testing for spatial autocorrelation in a fixed effects panel data model

Nicolas Debarsy, Cem Ertur

Research output: Contribution to journalArticle

Abstract

The aim of this paper is to assess the relevance of spatial autocorrelation in a fixed effects panel data model and in the affirmative,to identify the most appropriate spatial specification as this appears to be a crucial point from the modeling perspective of interactive heterogeneity. Several LM test statistics as well as their LR counterparts, which allow discriminating between endogenous spatial lag versus spatially autocorrelated errors, are therefore proposed. Monte Carlo experiments show their good finite sample performance. Finally, an empirical application is provided in the framework of the well-known Feldstein-Horioka puzzle.
Original languageEnglish
Pages (from-to)453-470
Number of pages18
JournalRegional Science and Urban Economics
Volume40
Publication statusUnpublished - 2010

Keywords

  • Spatial autocorrelation Panel data Test statistics

Fingerprint Dive into the research topics of 'Testing for spatial autocorrelation in a fixed effects panel data model'. Together they form a unique fingerprint.

Cite this