An asymptotic test for separability of a spatial autoregressive model

In this paper an asymptotic test for the separability of the spatial AR(p 1,1) model is presented by translating the spatial problem to a multiple time series problem. It is shown that the transformed problem reduces to testing whether or not the coefficient matrices of a certain VAR(p 1) are diagonal. Some simulation study results are also presented here to demonstrate the use of this test.