Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
983963 | Regional Science and Urban Economics | 2013 | 22 Pages |
Abstract
We consider using the J-test procedure for the non-nested model selection problem between the spatial autoregressive (SAR) model and the matrix exponential spatial specification (MESS) model. The 2SLS and GMM methods are used to implement the J-test procedure and derive several test statistics under the GMM framework. We investigate the behavior of those J-test statistics in terms of pseudo true values. We extend the J-test procedure into the setting when error terms in the model are with unknown heteroskedasticity. Monte Carlo results suggest with strong spatial dependence the J-test statistics can have good power to distinguish the SAR and MESS models.
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Authors
Xiaoyi Han, Lung-fei Lee,