LAUSR

The weighting matrix is a key element in the specification of a spatial model. Typically, this matrix is fixed a priori by the researcher, which is not always satisfactory. Theoretical justification for the chosen matrix tends to be very vague, and the selection problem is seldom reconsidered. However, several recent proposals advocate a more data-driven approach. In fact, if we have panel data, the weighting matrix can be estimated from the data; this facilitates the development of statistical procedures for testing various hypotheses of interest. In the paper, we focus on the assumption of stability, through time, of this matrix by adapting a collection of covariance matrix stability tests, developed in a multivariate context. The tests are compared in a Monte Carlo; two examples illustrate the proposal.