A test strategy for spurious spatial regression, spatial nonstationarity, and spatial cointegration

摘要

A test strategy consisting of a two-step Lagrange Multiplier test is suggested as a device to reveal spatial nonstationarity and spurious spatial regression. It is further illustrated how the test strategy can be used as a diagnostic for presence of a spatial cointegrating relationship between two variables. Using Monte Carlo simulations it is shown that the small-sample behaviour of the test strategy is as desired in these cases.