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Lagrange Multiplier Test Diagnostics for Spatial Dependence and Spatial Heterogeneity
Author(s) -
Anselin Luc
Publication year - 1988
Publication title -
geographical analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 65
eISSN - 1538-4632
pISSN - 0016-7363
DOI - 10.1111/j.1538-4632.1988.tb00159.x
Subject(s) - heteroscedasticity , lagrange multiplier , spatial analysis , spatial heterogeneity , residual , spatial dependence , score test , autocorrelation , econometrics , mathematics , multiplier (economics) , spatial econometrics , statistics , statistical hypothesis testing , mathematical optimization , algorithm , economics , macroeconomics , ecology , biology
Several diagnostics for the assessment of model misspecification due to spatial dependence and spatial heterogeneity are developed as an application of the Lagrange Multiplier principle. The starting point is a general model which incorporates spatially lagged dependent variables, spatial residual autocorrelation and heteroskedasticity. Particular attention is given to tests for spatial residual autocorrelation in the presence of spatially lagged dependent variables and in the presence of heteroskedasticity. The tests are formally derived and illustrated in a number of simple empirical examples.