Improved tests for spatial correlation

Robinson , Peter M. and Rossi, Francesca (2012) Improved tests for spatial correlation. Munich, Germany, Munich Personal RePEc Archive, 31pp. (Munich Personal RePEc Archive (MPRA) Paper, 41835).


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We consider testing the null hypothesis of no spatial autocorrelation against the alternative of first order spatial autoregression. A Wald test statistic has good first order asymptotic properties, but these may not be relevant in small or moderate-sized samples, especially as (depending on properties of the spatial weight matrix) the usual parametric rate of convergence may not be attained. We thus develop tests with more accurate size properties, by means of Edgeworth expansions and the bootstrap. The finite-sample performance of the tests is examined in Monte Carlo simulations.

Item Type: Monograph (Working Paper)
Subjects: H Social Sciences > HA Statistics
Divisions : Faculty of Social and Human Sciences > Social Sciences > Economics
ePrint ID: 343822
Accepted Date and Publication Date:
June 2012Made publicly available
Date Deposited: 11 Oct 2012 11:10
Last Modified: 31 Mar 2016 14:35

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