Econometric Theory • Vol 41 • No 5
HETEROSKEDASTICITY ROBUST SPECIFICATION TESTING IN SPATIAL AUTOREGRESSION
May 2024 • Jung-Yoon Lee, Peter C.B. Phillips, Francesca Rossi
Spatial autoregressive (SAR) and related models offer flexible yet parsimonious ways to model spatial and network interactions. SAR specifications typically rely on a particular parametric functional form and an exogenous choice of the so-called spatial weight matrix with only limited guidance from theory in making these specifications. Also, the choice of a SAR model over other alternatives, such as spatial Durbin (SD) or spatial lagged X (SLX) models, is often arbitrary, raising issues of potential specification…