Cluj Economics and Business Seminar Series (CEBSS) - Ediția de primăvară - Invitat: Anil BERA

Autor: Gabriela Maria Brendea

20 Martie 2025, 14:00

În data de 20 martie 2025, de la ora 14:00, Anil Kumal BERA, de la University of Illinois Urbana-Champaign, va susține o prezentare în cadrul ediției de primăvară a Cluj Economics and Business Seminar Series (CEBSS).

Titlul prezentării: The Last Word on Testing General Nesting Spatial (GNS) Model

Abstract: Three decades ago, Anselin et al. (1996) was unceremoniously published in the Regional Science and Urban Economics (RSUE) that literally changed the landscape of testing spatial regression models. By our last count, it has been cited by more than 2,600 papers in applied spatial econometrics out of which more than 1,200 papers have explicitly used its testing tools as the principal model selection methodology. The crux of the paper was to identify the source of spatial dependence: lag and/or error. Since then, much water has flown through the space of spatial econometrics. More recently another source of dependence, namely the Durbin specification that takes account of the exogenous interaction effects among the cross-sectional units (locations) has become very popular in the econometrics literature. Elhorst (2017) pointed out that conducting statistical tests while ignoring the Durbin term may spuriously lead to strong evidence in favor of interaction effects among the dependent variable or among the error terms. He further cautioned that the tests in Anselin et al. (1996) or the analogous ones developed for the spatial panel set up in Elhorst (2010) may not be very helpful in finding the right model as they do not account for the exogenous interaction effects. In this paper, we modify Anselin et al. (1996) by including the Durbin specification and attempt to identify the three main sources of spatial dependence, namely, lag, error and Durbin. This work can also be viewed as an extension of Koley and Bera (2024) that took account of lag and Durbin terms but did not consider the spatial error dependence. We conduct extensive simulation experiments to investigate the finite sample behavior of our suggested tests. We also provide an empirical analysis using the City of Chicago housing prices data, to illustrate the usefulness of our procedures in practical applications.

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CEBSS, inițiat și coordonat de către prof.univ.dr. Cristian Litan din anul 2012, reprezintă un forum pentru dezbaterea și difuzarea rezultatelor cercetărilor științifice. Seria de seminare contribuie în mod semnificativ și distinctiv la creșterea valorii adăugate științifice, având un impact relevant asupra cunoștințelor, educației și practicilor din domeniul economiei și al afacerilor.

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