Testing Panel Data Regression Models with Spatial Error Correlation



Table 1

Joint Tests for H0a; A = ¾2 =0
0                 I-L

Frequency of Rejections in 2000 Replications

Weight Matrix is ROOK

LM H

½ = 0:0

LM H

½ = 0:2

LM H

½ = 0:5

N,

T

A

GHM

LRJj

GHM

LRJj

GHM

LRJj

25,

3

0.0

0.021

0.022

0.048

0.241

0.351

0.379

0.825

0.961

0.963

0.1

0.073

0.074

0.089

0.359

0.386

0.405

0.875

0.967

0.970

0.2

0.154

0.198

0.219

0.474

0.432

0.473

0.920

0.969

0.973

0.3

0.277

0.414

0.435

0.605

0.566

0.633

0.944

0.970

0.980

0.4

0.469

0.688

0.728

0.727

0.711

0.788

0.963

0.976

0.989

0.5

0.634

0.876

0.900

0.845

0.844

0.909

0.983

0.980

0.996

0.6

0.832

0.967

0.976

0.934

0.953

0.978

0.989

0.988

0.998

0.7

0.950

0.999

1.000

0.973

0.984

0.996

0.997

0.996

0.999

0.8

0.987

1.000

1.000

0.995

0.999

1.000

0.999

0.997

1.000

0.9

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

25,

7

0.0

0.038

0.039

0.061

0.805

0.895

0.890

1.000

1.000

1.000

0.1

0.115

0.144

0.151

0.916

0.940

0.916

1.000

1.000

1.000

0.2

0.299

0.450

0.463

0.962

0.949

0.947

1.000

1.000

1.000

0.3

0.611

0.827

0.836

0.986

0.984

0.986

1.000

1.000

1.000

0.4

0.866

0.983

0.984

0.997

0.997

0.997

1.000

1.000

1.000

0.5

0.975

0.999

0.999

1.000

1.000

1.000

1.000

1.000

1.000

0.6

0.999

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

49,

3

0.0

0.035

0.041

0.062

0.440

0.608

0.613

0.979

0.999

0.999

0.1

0.120

0.133

0.135

0.613

0.638

0.633

0.996

1.000

1.000

0.2

0.289

0.384

0.403

0.786

0.750

0.767

0.999

1.000

1.000

0.3

0.513

0.724

0.738

0.902

0.860

0.895

1.000

1.000

1.000

0.4

0.782

0.948

0.956

0.965

0.946

0.969

1.000

1.000

1.000

0.5

0.920

0.992

0.992

0.989

0.994

0.997

1.000

1.000

1.000

0.6

0.993

1.000

1.000

1.000

0.999

1.000

1.000

1.000

1.000

0.7

0.999

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

49,

7

0.0

0.033

0.040

0.050

0.977

0.996

0.994

1.000

1.000

1.000

0.1

0.188

0.259

0.263

0.994

0.997

0.996

1.000

1.000

1.000

0.2

0.563

0.779

0.775

0.999

0.999

1.000

1.000

1.000

1.000

0.3

0.895

0.984

0.986

1.000

1.000

1.000

1.000

1.000

1.000

0.4

0.993

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

0.5

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

11



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