A test strategy for spurious spatial regression, spatial nonstationarity, and spatial cointegration |
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| Authors: | Jø rgen Lauridsen,Reinhold Kosfeld |
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| Affiliation: | Department of Business and Economics, University of Southern Denmark, Campusvej 55, DK–5230 Odense M, Denmark (e-mail: ); Department of Economics, University of Kassel, D-34109 Kassel, Germany (e-mail: ) |
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| Abstract: | Abstract. A test strategy consisting of a two-step Lagrange Multiplier test is suggested as a device to reveal spatial nonstationarity and spurious spatial regression. It is further illustrated how the test strategy can be used as a diagnostic for presence of a spatial cointegrating relationship between two variables. Using Monte Carlo simulations it is shown that the small-sample behaviour of the test strategy is as desired in these cases. |
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| Keywords: | C21 C40 C51 J60 |
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