Spatial lag test with equal weights

This note shows that for a spatial regression with equal weights, the LM test is always equal to NÂ /Â 2(NÂ -Â 1), where N is the sample size. This means that this test statistics is a function of N and not a function of the spatial parameter [rho]. In fact, this test statistic tends to one half for N tending to infinity. The null hypothesis of no spatial correlation is never rejected no matter what [rho] is.

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Year of publication:	2009
Authors:	Baltagi, Badi H. ; Liu, Long
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 104.2009, 2, p. 81-82
Publisher:	Elsevier
Keywords:	Spatial error correlation Equal weights Lagrange multiplier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023468