TY - JOUR 
A1 - Mur Lacambra, Jesús
AU - López Hernández, Fernando Antonio
T1 - Spatial SUR models: Specification, Testing and Selection
Y1 - 2010
UR - http://hdl.handle.net/10317/1412
AB - Our paper focuses on the case of SUR models with spatial effects. Specifically, the problem
that we pose is testing for the presence of spatial effects in these multivariate models, considering
that one of our main interests is to deal with the question of selecting the most adequate
specification for the data. In order to do this, we obtain several tests that check for the fundamental
hypothesis of the model, including the assumption of time stability of the spatial dependence
mechanisms. We solve the discussion in a maximum-likelihood framework because this facilitates
the obtaining of appropriate tests. The second part of the paper contains a Monte Carlo experiment
in order to study the behaviour of the two most popular model selection strategies, Specific-to-
General or General-to-Specific, using the collection of tests that have been proposed.
KW - Economía Aplicada
KW - Dependencia espacial
KW - Regresiones aparentemente no vinculadas
KW - Selección del modelo
KW - Monte Carlo
KW - Spatial dependence
KW - Seemingly Unrelated Regressions (SUR)
KW - Model selection
LA - eng
ER -