A Hausman test for spatial regression model

Monalisa Sen, Anil K. Bera, Yu Hsien Kao

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this chapter we investigate the finite sample properties of a Hausman test for the spatial error model (SEM) proposed by Pace and LeSage (2008). In particular, we demonstrate that the power of their test could be very low against a natural alternative like the spatial autoregressive (SAR) model.

Original languageEnglish (US)
Title of host publicationEssays in Honor of Jerry Hausman
EditorsBadi Baltagi, Carter Hill, Whitney Newey, Halbert White
Pages547-559
Number of pages13
DOIs
StatePublished - Dec 1 2012
Externally publishedYes

Publication series

NameAdvances in Econometrics
Volume29
ISSN (Print)0731-9053

Keywords

  • Hausman test
  • Monte Carlo study
  • Spatial autoregression model
  • Spatial error model
  • Specification test

ASJC Scopus subject areas

  • Economics and Econometrics

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