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Monte Carlo properties of spatial dependence LM tests

By Pablo Acosta, Enlinson de Mattos and Ana Fava

Abstract

This paper compares the power and size of both spatial one-directional and robust to local misspecification LM test using Monte Carlo techniques under different set ups. Confirming the results found in Anselin et al. (1996), under local misspecification the robust LM test improves its size and power of tests. However, under no misspecification, the robust LM test is severely penalized and the usual one-directional LM test has a much better performance.

DOI identifier: 10.1080/13504850500426111
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