Looking for the Causes of Instability in Spatial Econometric Models

It is relatively easy to find symptoms of misspecification in a model that suffers from instability. Problems arise in relation to their interpretation: They may be due to a wrong selection of the functional form. There may be a problem of omitted variables or the parameters of the model may not be homogeneous across space. The authors focus their attention on the last aspect. Specifically, the intention is to develop a strategy to analyze the hypothesis of stability in the parameters of a spatial econometric model. It is important that this procedure should provide the user with information about the cause of instability. The content of the article is mixed. First, the authors develop a collection of robust Multipliers to test the hypothesis of stability in the main elements of a spatial econometric model. Then, they solve a Monte Carlo to analyze the behavior of the Multipliers. Finally, they present an application to the case of the Spanish elections by municipalities.