TESTING FOR LINEAR AND LOG-LINEAR MODELS AGAINST BOX-COX ALTERNATIVES WITH SPATIAL LAG DEPENDENCE

and

Spatial and Spatiotemporal Econometrics

ISBN: 978-0-76231-148-4, eISBN: 978-1-84950-301-3

ISSN: 0731-9053

Publication date: 30 December 2004

Abstract

Baltagi and Li (2001) derived Lagrangian multiplier tests to jointly test for functional form and spatial error correlation. This companion paper derives Lagrangian multiplier tests to jointly test for functional form and spatial lag dependence. In particular, this paper tests for linear or log-linear models with no spatial lag dependence against a more general Box-Cox model with spatial lag dependence. Conditional LM tests are also derived which test for (i) zero spatial lag dependence conditional on an unknown Box-Cox functional form, as well as, (ii) linear or log-linear functional form given spatial lag dependence. In addition, modified Rao-Score tests are also derived that guard against local misspecification. The performance of these tests are investigated using Monte Carlo experiments.

Citation

Baltagi, B. and Li, D. (2004), "TESTING FOR LINEAR AND LOG-LINEAR MODELS AGAINST BOX-COX ALTERNATIVES WITH SPATIAL LAG DEPENDENCE", Lesage, J. and Kelley Pace, R. (Ed.) Spatial and Spatiotemporal Econometrics (Advances in Econometrics, Vol. 18), Emerald Group Publishing Limited, Bingley, pp. 35-74. https://doi.org/10.1016/S0731-9053(04)18001-8

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Emerald Group Publishing Limited

Copyright © 2004, Emerald Group Publishing Limited

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