Spatial cointegration and heteroscedasticity

被引：10

作者：

Lauridsen, Jorgen

Kosfeld, Reinhold

机构：

[1] Inst Publ Hlth, Odense 5230, Denmark

[2] Univ Kassel, Dept Econ, D-34109 Kassel, Germany

来源：

JOURNAL OF GEOGRAPHICAL SYSTEMS | 2007年 / 9卷 / 03期

关键词：

spatial autocorrelation; spatial autoregression; spatial nonstationarity; spatial cointegration; unobserved heteroscedasticity; LAGRANGE MULTIPLIER TEST; NETWORK ECONOMETRICS; BAYESIAN TECHNIQUES; REGRESSION-MODELS; COVARIANCE; VARIANCE; TESTS; SPECIFICATION;

D O I：

10.1007/s10109-007-0048-y

中图分类号：

P9 [自然地理学]; K9 [地理];

学科分类号：

0705 ; 070501 ;

摘要：

A two-step Lagrange Multiplier test strategy has recently been suggested as a tool to reveal spatial cointegration. The present paper generalises the test procedure by incorporating control for unobserved heteroscedasticity. Using Monte Carlo simulation, the behaviour of several relevant tests for spatial cointegration and/or heteroscedasticity is investigated. The two-step test for spatial cointegration appears to be robust towards heteroscedasticity. While several tests for heteroscedasticity prove to be inconclusive under certain circumstances, a Lagrange Multiplier test for heteroscedasticity based on spatially differenced variables is shown to serve well as an indication of heteroscedasticity irrespective of cointegration status.

引用

页码：253 / 265

页数：13

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