TESTING FOR LINEAR AND LOG-LINEAR MODELS AGAINST BOX-COX ALTERNATIVES WITH SPATIAL LAG DEPENDENCE
Spatial and Spatiotemporal Econometrics
ISBN: 978-0-76231-148-4, eISBN: 978-1-84950-301-3
Publication date: 30 December 2004
Abstract
Baltagi and Li (2001) derived Lagrangian multiplier tests to jointly test for functional form and spatial error correlation. This companion paper derives Lagrangian multiplier tests to jointly test for functional form and spatial lag dependence. In particular, this paper tests for linear or log-linear models with no spatial lag dependence against a more general Box-Cox model with spatial lag dependence. Conditional LM tests are also derived which test for (i) zero spatial lag dependence conditional on an unknown Box-Cox functional form, as well as, (ii) linear or log-linear functional form given spatial lag dependence. In addition, modified Rao-Score tests are also derived that guard against local misspecification. The performance of these tests are investigated using Monte Carlo experiments.
Citation
Baltagi, B.H. and Li, D. (2004), "TESTING FOR LINEAR AND LOG-LINEAR MODELS AGAINST BOX-COX ALTERNATIVES WITH SPATIAL LAG DEPENDENCE", Lesage, J.P. and Kelley Pace, R. (Ed.) Spatial and Spatiotemporal Econometrics (Advances in Econometrics, Vol. 18), Emerald Group Publishing Limited, Leeds, pp. 35-74. https://doi.org/10.1016/S0731-9053(04)18001-8
Publisher
:Emerald Group Publishing Limited
Copyright © 2004, Emerald Group Publishing Limited