Testing for spatial autocorrelation in a fixed effects panel data model

Nicolas Debarsy, Cem Ertur

Résultats de recherche: Contribution à un journal/une revueArticle

Résumé

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.
langue originaleAnglais
Pages (de - à)453-470
Nombre de pages18
journalRegional Science and Urban Economics
Volume40
Etat de la publicationNon publié - 2010

Empreinte digitale Examiner les sujets de recherche de « Testing for spatial autocorrelation in a fixed effects panel data model ». Ensemble, ils forment une empreinte digitale unique.

Contient cette citation