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作者

Anil K. Bera;Osman Doğan;Süleyman Taşpınar;Yufan Leiluo

来源

REGIONAL SCIENCE AND URBAN ECONOMICS,Vol.76,Issue1,P.47-66

语言

英文

关键字

Spatial dynamic panel data model;SDPD;Rao's score tests;LM tests;MLE;Spatial dependence;Robust LM tests;C13;C21;C31

作者单位

Department of Economics, University of Illinois at Urbana-Champaign, IL, USA;Department of Economics, Queens College, The City University of New York, NY, USA;Department of Economics, University of Illinois at Urbana-Champaign, IL, USA;Department of Economics, Queens College, The City University of New York, NY, USA

摘要

In this study, we introduce adjusted Rao's score test statistics (Lagrange multiplier (LM) tests) for a spatial dynamic panel data (SDPD) model that includes a contemporaneous spatial lag, a time lag and a spatial-time lag. The maximum likelihood estimator for the estimation of SDPD models can have asymptotic bias because of individual and time fixed effects. Bias arises since the limiting distributions of the score functions derived from the corresponding concentrated log-likelihood functions are not centered on zero. First, we show how the score functions should be adjusted to avoid the effect of asymptotic bias on the standard LM test statistics. Second, we further adjust score functions such that the resulting LM test statistics are valid when there is local parametric misspecification in the alternative model. Our adjusted LM test statistics can be used to test the presence of the contemporaneous spatial lag, time lag and spatial-time lag in an SDPD model. In a Monte Carlo study, we demonstrate that our suggested test statistics have good finite sample size and power properties. Finally, we illustrate implementation of these tests in an application on public capital productivity in 48 contiguous US states.