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Bootstrap inference in spatial econometrics : the J test

Fingleton, B. and Burridge, P. (2010) Bootstrap inference in spatial econometrics : the J test. Spatial Economic Analysis, 5 (1). pp. 93-119. ISSN 1742-1772

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Abstract

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.

Item type: Article
ID code: 28191
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
Related URLs:
Depositing user: Miss Jenna Wright
Date Deposited: 14 Oct 2010 13:34
Last modified: 27 Mar 2014 09:03
URI: http://strathprints.strath.ac.uk/id/eprint/28191

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