Lagrange Multiplier Test Diagnostics for Spatial Dependence and Spatial Heterogeneity

1988/01/01 by Luc Anselin · 4 citations
Economics, Econometrics and Finance · Mathematics · Decision Sciences · #Spatial and Panel Data Analysis #Statistical Methods and Inference #Efficiency Analysis Using DEA

paper · pdf · doi:10.1111/j.1538-4632.1988.tb00159.x

Abstract

Several diagnostics for the assessment of model misspecification due to spatial dependence and spatial heterogeneity are developed as an application of the Lagrange Multiplier principle. The starting point is a general model which incorporates spatially lagged dependent variables, spatial residual autocorrelation and heteroskedasticity. Particular attention is given to tests for spatial residual autocorrelation in the presence of spatially lagged dependent variables and in the presence of heteroskedasticity. The tests are formally derived and illustrated in a number of simple empirical examples.

Citations

• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

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