In this study, we propose simple test statistics for identifying the source of spatial dependence in spatial autoregressive models with endogenous weights matrices. Elements of the weights matrices are modelled in such a way that endogenity arises when the unobserved factors that affect elements...

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 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...

Specification of a model is one of the most fundamental problems in econometrics. In practice, specification tests are generally carried out in a piecemeal fashion, for example, testing the presence of one-effect at a time ignoring the potential presence of other forms of misspecification. Many...

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...