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This paper provides two specification tests for the system of spatial autoregressive model of order m . We derive the theoretical limit distributions and show in a detailed Monte Carlo simulation study that the tests result in reasonable sized testing procedures with large power. In the...
Persistent link: https://www.econbiz.de/10015193267
The paper modifies previously suggested GMM approaches to spatial autoregression in stock returns. Our model incorporates global dependencies, dependencies inside industrial branches and local dependencies. As can be seen from Euro Stoxx 50 returns, this combination of spatial modeling and...
Persistent link: https://www.econbiz.de/10010845932
This paper provides two specification tests for the system of spatial autoregressive model of order m . We derive the theoretical limit distributions and show in a detailed Monte Carlo simulation study that the tests result in reasonable sized testing procedures with large power. In the...
Persistent link: https://www.econbiz.de/10015400899