We consider a spatial econometric model containing a spatial lag in the dependent variable and the disturbance term with an unknown form of heteroskedasticity in innovations. We first prove that the maximum likelihood (ML) estimator for spatial autoregressive models is generally inconsistent...

Rao's (1948) seminal paper introduced a fundamental principle of testing based on the score function and the score test has local optimal properties. When the assumed model is misspecified, it is well known that Rao's score (RS) test loses its optimality. A model could be misspecified in a...

In this study, we propose a Rao's score (RS) statistic (Lagrange multiplier (LM) statistic) to test for endogeneity of the spatial weights matrix in a spatial autoregressive model. To achieve this, we start with a spatial autoregressive model with an acceptable form for the generating process...

In this study, we consider the test statistics that can be written as the sample average of data and derive their limiting distribution under the maximum likelihood (ML) and the quasi-maximum likelihood (QML) frameworks. We first generalize the asymptotic variance formula suggested in Pierce...

In this paper, we provide a general account to the asymptotic properties of a modified Rao's score (RS) statistic for testing a non-linear hypothesis under both distributional and parametric misspecification. The distributional misspecification arises if the parametric family of distribution...