Jungyoon Lee (Royal Holloway)
| Dates: | 17 November 2016 |
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| Times: | 16:15 - 17:45 |
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| What is it: | Seminar |
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| Organiser: | School of Social Sciences |
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| Speaker: | Jungyoon Lee |
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Title: Misspecification Testing in Spatial Autoregressive Models
Abstract: Spatial autoregressive (SAR) and related models offer flexible yet parsimonious ways to model spatial or network interaction. However, SAR specifications rely on a particular parametric functional form and an exogenous choice of the so-called spatial weight matrix. Moreover, the choice of SAR model over other alternatives, such as Spatial Durbin (SD) or Spatial Lagged X (SLX) models, is often arbitrary and unwarranted. This paper develops a specification test in SAR model that can detect general forms of misspecification including that of the spatial weight matrix, functional form and the model itself. We extend the framework of conditional moment testing of Bierens (1982, 1990) to the general spatial setting. We derive the asymptotic distribution of our test statistic under the null hypothesis of correct SAR specification and show consistency of the test. We also carry out a small Monte Carlo study of finite sample performance.
Speaker
Jungyoon Lee
Role: Lecturer
Organisation: Royal Holloway
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2nd Floor Boardroom
Arthur Lewis Building
Manchester
