A scan test for spatial groupwise heteroscedasticity in cross-sectional models with an application on houses prices in Madrid

《A scan test for spatial groupwise heteroscedasticity in cross-sectional models with an application on houses prices in Madrid》

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关键字: Spatial scan procedure; Spatial groupwise heteroskedasticity; Spatial variance clusters; Monte Carlo simulation; House prices; Madrid; GEOGRAPHICALLY WEIGHTED REGRESSION; HETEROGENEITY; HETEROSKEDASTICITY; CONVERGENCE; COEFFICIENT; DEPENDENCE; INFERENCE;

作者单位: [Chasco, Coro] Univ Autonoma Madrid, Dept Econ Aplicada, Avda Francisco Tomas y Valiente 5, E-28049 Madrid, Spain. [Le Gallo, Julie] Agrosup Dijon, CESAER, DSHS Longelles, 26 Blvd Petitjean, F-21079 Dijon, France. [Lopez, Fernando A.] Univ Politecn Cartagena, Dept Metodos Cuantitat & Informat, Fac Ciencias Empresa, C Real 3, Cartagena 30201, Spain. Lopez, FA (reprint author), Univ Politecn Cartagena, Dept Metodos Cuantitat & Informat, Fac Ciencias Empresa, C Real 3, Cartagena 30201, Spain. E-Mail: coro.chasco@uam.es; julie.le-gallo@agrosupdijon.fr; fernando.lopez@upct.es

摘要: We propose a scan test for the presence of spatial groupwise heteroskedasticity in cross-sectional data. The scan approach has been used in different fields before, including spatial econometric models, to detect instability in mean values of variables or regression residuals. In this paper, we extend its use to second order moments. Using large Monte Carlo simulations, we check the reliability of the proposed scan procedure to detect instabilities in the variance, the size and power of the test and its accuracy to find spatial clusters of observations with similar variances. Finally, we illustrate the usefulness of this test to improve the specification search in a spatial hedonic model, with an empirical application on housing prices in Madrid.