A test to select between spatial weighting matrices
There exist a number of ways of selecting the best spatial weighting matrix in a spatial regression framework. But these methods all work under the assumption that there is only one matrix in the final model and they simply aim to pick the best one. We propose an encompassing tests which allows for...
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| Published in | Journal of Spatial Econometrics Vol. 4; no. 1 |
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| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Cham
Springer International Publishing
01.12.2023
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| Subjects | |
| Online Access | Get full text |
| ISSN | 2662-2998 2662-298X |
| DOI | 10.1007/s43071-022-00032-9 |
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| Abstract | There exist a number of ways of selecting the best spatial weighting matrix in a spatial regression framework. But these methods all work under the assumption that there is only one matrix in the final model and they simply aim to pick the best one. We propose an encompassing tests which allows for the possibility that the final preferred model may have two or more spatial weighting matrices. We validate the proposed test through a Monte Carlo study. We then illustrate the test by applying it to a two-equation simultaneous system determining sovereign bond ratings and spreads for two groups comprising northern and Southern Euro-area countries. |
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| AbstractList | There exist a number of ways of selecting the best spatial weighting matrix in a spatial regression framework. But these methods all work under the assumption that there is only one matrix in the final model and they simply aim to pick the best one. We propose an encompassing tests which allows for the possibility that the final preferred model may have two or more spatial weighting matrices. We validate the proposed test through a Monte Carlo study. We then illustrate the test by applying it to a two-equation simultaneous system determining sovereign bond ratings and spreads for two groups comprising northern and Southern Euro-area countries. |
| ArticleNumber | 1 |
| Author | Gefang, Deborah Tavlas, George S. Hall, Stephen G. |
| Author_xml | – sequence: 1 givenname: Stephen G. orcidid: 0000-0001-6068-8749 surname: Hall fullname: Hall, Stephen G. organization: University of Leicester, Bank of Greece, University of Pretoria – sequence: 2 givenname: George S. surname: Tavlas fullname: Tavlas, George S. email: gtavlas@bankofgreece.gr organization: Bank of Greece, Hoover Institution – sequence: 3 givenname: Deborah surname: Gefang fullname: Gefang, Deborah organization: University of Leicester |
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| Cites_doi | 10.1016/j.jeconom.2016.04.019 10.1016/j.ecolmodel.2006.02.015 10.1201/9781420064254 10.1080/07474938.2017.1308087 10.1016/j.jue.2010.08.007 10.1016/S0304-4076(03)00133-7 10.1002/ecy.2469 10.1093/oep/gpab046 10.1111/j.1468-0262.2004.00558.x 10.1111/ecog.03380 10.1016/0304-4076(82)90101-4 10.1016/j.jpolmod.2017.07.001 10.1007/s00181-010-0373-8 |
| ContentType | Journal Article |
| Copyright | The Author(s), under exclusive licence to Springer Nature Switzerland AG 2022. Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. |
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| Keywords | Cross-country spillovers Spatial estimation G01 Spatial weighting matrix E3 G21 |
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| References | Hendry, Richard (CR9) 1982; 20 Dray, Legendre, Peres-Neto (CR7) 2006; 196 Baltagi, Bresson (CR2) 2011; 69 Lee (CR14) 2004; 72 Ahmad, Hall (CR1) 2017; 39 Bauman, Drouet, Dray, Vleminckx (CR5) 2018; 41 Kelejian, Pinas (CR10) 2017 Baltagi, Deng (CR3) 2014; 34 Liu, Saraiva (CR16) 2019; 38 Bauman, Drouet, Fortin, Dray (CR6) 2018; 99 Gibson, Hall, GeFang, Petroulas, Tavlas (CR8) 2021; 73 LeSage, Pace (CR15) 2009 Kelejian, Prucha (CR13) 2004; 118 Baltagi, Pirotte (CR4) 2011; 40 Yang, Lee (CR17) 2017; 196 DF Hendry (32_CR9) 1982; 20 L-F Lee (32_CR14) 2004; 72 D Bauman (32_CR5) 2018; 41 B Baltagi (32_CR3) 2014; 34 K Yang (32_CR17) 2017; 196 HH Kelejian (32_CR13) 2004; 118 HD Gibson (32_CR8) 2021; 73 H Kelejian (32_CR10) 2017 X Liu (32_CR16) 2019; 38 M Ahmad (32_CR1) 2017; 39 B Baltagi (32_CR2) 2011; 69 S Dray (32_CR7) 2006; 196 J LeSage (32_CR15) 2009 B Baltagi (32_CR4) 2011; 40 D Bauman (32_CR6) 2018; 99 |
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| Title | A test to select between spatial weighting matrices |
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