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11 - Spatial Models and Tests for Cross-Sectional Dependence

Published online by Cambridge University Press:  19 May 2022

Cheng Hsiao
Cheng Hsiao
Affiliation:
University of Southern California
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Summary

Weak and strong cross-sectional dependence are discussed. Various spatial approaches to model cross-sectional dependence, such as the spatial error or spatial regressive approach for static or dynamic models, are introduced. Issues of endogeneity of spatial weight matrix, higher-order spatial weight matrix, and the mixed spatial and factor process are considered. The Lagrangian multiplier and CD tests for cross-sectional uncorrelation for various types of models are also discussed.

Keywords

spatial error modelspatial regressive modelmatrix exponentialendogeneityLagrangian multiplier testCD test
Type
Chapter
Information
Analysis of Panel Data , pp. 339 - 360
Publisher: Cambridge University Press
Print publication year: 2022

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