An extension of the J-test to a spatial panel data framework

Kelejian (Letters in Spatial and Resources Sciences 2008; 1: 3–11) extended the J-test procedure to a spatial framework. Although his suggested test was computationally simple and intuitive, it did not use the available information in an efficient manner. Kelejian and Piras (Regional Science and Urban Economics 2011; 41: 281–292) generalized and modified Kelejian’s test to account for all the available information. However, neither Kelejian (2008) nor Kelejian and Piras (2011) considered a panel data framework. In this paper we generalize these earlier works to a panel data framework with fixed effects and additional endogenous variables. We give theoretical as well as Monte Carlo results relating to our suggested tests. An empirical application on a crime model for North Carolina is also estimated.