In this study, we introduce adjusted Rao's score test statistics (Lagrange multiplier (LM) tests) for a spatial dynamic panel data (SDPD) model that includes a contemporaneous spatial lag, a time lag and a spatial-time lag. The maximum likelihood estimator for the estimation of SDPD models can...

Spatial modeling is one of the growing areas of research in economics in recent years. However, these models are not tested enough. Even if tests are performed, they are done in a piece-wise fashion. Another age-long problem in economic modeling is endogeneity of one or more variables....