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An Extension of the J ‐Test to a Spatial Panel Data Framework
Author(s) -
Kelejian Harry H.,
Piras Gianfranco
Publication year - 2016
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.2425
Subject(s) - extension (predicate logic) , panel data , spatial econometrics , test (biology) , econometrics , spatial analysis , simple (philosophy) , computer science , monte carlo method , economics , mathematics , statistics , paleontology , philosophy , epistemology , biology , programming language
Summary Kelejian ( Letters in Spatial and Resources Sciences ; 1 : 3–11) extended the J ‐test procedure to a spatial framework. Although his suggested test was computationally simple and intuitive, it did not use the available information in an efficient manner. Kelejian and Piras ( Regional Science and Urban Economics ; 41 : 281–292) generalized and modified Kelejian's test to account for all the available information. However, neither Kelejian ([Kelejian HH, 2008]) nor Kelejian & Piras ([Kelejian HH, 2011]) considered a panel data framework. In this paper we generalize these earlier works to a panel data framework with fixed effects and additional endogenous variables. We give theoretical as well as Monte Carlo results relating to our suggested tests. An empirical application on a crime model for North Carolina is also estimated. Copyright © 2015 John Wiley & Sons, Ltd.