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- W2020174245 abstract "Abstract Many applied researchers have to deal with spatially autocorrelated residuals (SAR). Available tests that identify spatial spillovers as captured by a significant SAR parameter, are either based on maximum likelihood (MLE) or generalized method of moments (GMM) estimates. This paper illustrates the properties of various tests for the null hypothesis of a zero SAR parameter in a comprehensive Monte Carlo study. The main finding is that Wald tests generally perform well regarding both size and power even in small samples. The GMM-based Wald test is correctly sized even for non-normally distributed disturbances and small samples, and it exhibits a similar power as its MLE-based counterpart. Hence, for the applied researcher the GMM Wald test can be recommended, because it is easy to implement." @default.
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- W2020174245 date "2009-11-01" @default.
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- W2020174245 title "Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors" @default.
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- W2020174245 doi "https://doi.org/10.1016/j.regsciurbeco.2008.09.003" @default.
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