Economics Seminar: Improved Lagrange Multiplier Tests for Spatial Autoregressions
- When?
- Wednesday 31 October 2012, 16:00 to 17:30
- Where?
- 40AD00
- Open to:
- Public, Staff, Students
- Speaker:
- Dr. Francesca Rossi
Dr. Francesca Rossi (University of Southampton)
"Improved Lagrange Multiplier Tests for Spatial Autoregressions"
Abstract
Lagrange multiplier tests for spatial uncorrelatedness in a spatial autoregressive (SAR) model are computationally simpler than Wald and likelihood ratio tests. They are typically based on the chi-squared first-order asymptotic approximation to the distribution of the test statistic. In small samples this approximation may be poor. We develop refined tests for uncorrelatedness of disturbances in regressions, against the alternative of spatial autoregressive disturbances, based on Edgeworth expansion. These are compared by Monte Carlo simulations to ones that are based on a bootstrap. Generally our tests are found to significantly outperform those based on the chi-squared approximation.