Finite Sample Properties of Pre-Test Estimators of Spatial Models
Gianfranco Piras and Ingmar Prucha , ( 46 )
Regional Science and Urban Economics

This paper explores the properties of pre-test strategies in estimating a linear Cliff–Ord-type spatial model when the researcher is unsure about the nature of the spatial dependence. More specifically, the paper explores the fi- nite sample properties of the pre-test estimators introduced in Florax et al. (2003), which are based on Lagrange Multiplier (LM) tests, within the context of a Monte Carlo study. The performance of those estimators is compared with that of the maximum likelihood (ML) estimator of the encompassing model.

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