Spurious Spatial Regression, Spatial Cointegration and Heteroscedasticity
نویسندگان
چکیده
A test strategy consisting of a two-step application of a Lagrange Multiplier test was recently suggested as a device to reveal spatial nonstationarity, spurious spatial regression and spatial cointegration. The present paper generalises the test procedure by incorporating control for biased test values emerging from unobserved heteroscedasticity. Using Monte Carlo simulation, the behaviour of several relevant tests for nonstationarity and/or heteroscedasticity are investigated. The two-step test for spatial nonstationarity turns out 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 serves well as an indication of heteroscedasticity irrespective of stationarity status. JEL Classifications: C21; C40; C51; J60.
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