Fingleton, B. and Burridge, P. (2010) Bootstrap inference in spatial econometrics : the J test. Spatial Economic Analysis, 5 (1). pp. 93-119. ISSN 1742-1772Full text not available in this repository. (Request a copy from the Strathclyde author)
Kelejian (2008) introduces a J-type test for the situation in which a null linear regression model, Model0, is to be tested against one or more rival non-nested alternatives, Model1, . . ., Modelg, where typically the competing models possess endogenous spatial lags and spatially autoregressive error processes. Concentrating on the case g1, in this paper we examine the finite sample properties of a spatial J statistic that is asymptotically x2 2 under the null, and an alternative version that is conjectured to be approximately x2 1; both introduced by Kelejian. We demonstrate numerically that the tests are excessively liberal in some leading cases and conservative in others using the relevant chi-square asymptotic approximations, and explore how far this may be corrected using a simple bootstrap resampling method.
|Keywords:||spatial econometrics, bootstrap, J-test, Economic Theory, Economics, Econometrics and Finance(all), Earth and Planetary Sciences (miscellaneous), Statistics, Probability and Uncertainty, Geography, Planning and Development|
|Subjects:||Social Sciences > Economic Theory|
|Department:||Strathclyde Business School > Economics|
|Depositing user:||Miss Jenna Wright|
|Date Deposited:||14 Oct 2010 12:34|
|Last modified:||24 Feb 2017 04:52|