Marcos Herrera Gómez

Separating Common-Factor from Covariate-Specific Spillovers: An Exact SLX Score-Test Decomposition

This paper studies the score test for spatially lagged regressors (WX) in SLX modelswhen the data may also exhibit spatial dependence in the lagged dependent variable or theerror term. Building on the exact score identity of Koley (2024), Sρ = Sλ + ˆ β′ncSθ, we show that the unad...