Title: Testing the correct specification of a spatial panel model for stock returns
Authors: Tim Kutzker - University of Cologne (Germany) [presenting]
Dominik Wied - University of Cologne (Germany)
Abstract: A test for spatial autoregression models is provided. Spatial autoregression models usually incorporate global dependencies, dependencies inside industrial branches and local dependencies. The power of the test is also shown. An empirical analysis of the Euro Stoxx 50 returns concludes the findings.