A scan test for spatial groupwise heteroscedasticity in cross-sectional models with an application on houses prices in Madrid
Entity
UAM. Departamento de Economía AplicadaPublisher
Elsevier B.V.Date
2017-11-08Citation
10.1016/j.regsciurbeco.2017.10.015
Regional Science and Urban Economics 68 (2018): 226-238
ISSN
0166-0462DOI
10.1016/j.regsciurbeco.2017.10.015Funded by
This work was supported by Spanish Ministry of Economics and Competitiveness (ECO2015-65758-P) and the project from Programa de Ayudas a Grupos de Excelencia de la Región de Murcia, Fundación Seneca (#19884-GERM-15)Project
Gobierno de España. ECO2015-65758-PEditor's Version
https://doi.org/10.1016/j.regsciurbeco.2017.10.015Subjects
House prices; Madrid; Monte Carlo simulation; Spatial groupwise heteroskedasticity; Spatial scan procedure; Spatial variance clusters; EconomíaRights
© 2017 Elsevier B.V.Esta obra está bajo una licencia de Creative Commons Reconocimiento-NoComercial-SinObraDerivada 4.0 Internacional.
Abstract
We propose a scan test for the presence of spatial groupwise heteroskedasticity in cross-sectional data. The scan approach has been used in different fields before, including spatial econometric models, to detect instability in mean values of variables or regression residuals. In this paper, we extend its use to second order moments. Using large Monte Carlo simulations, we check the reliability of the proposed scan procedure to detect instabilities in the variance, the size and power of the test and its accuracy to find spatial clusters of observations with similar variances. Finally, we illustrate the usefulness of this test to improve the specification search in a spatial hedonic model, with an empirical application on housing prices in Madrid.
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Google Scholar:Chasco Yrigoyen, María del Coro
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Le Gallo, Julie
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López, Fernando A.
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