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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).

Record type: Monograph (Working Paper)

Abstract

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.

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Published date: June 2012
Organisations: Economics

Identifiers

Local EPrints ID: 343822
URI: http://eprints.soton.ac.uk/id/eprint/343822
PURE UUID: 48b15ccf-6782-4e49-98ef-2cc5c11e814f

Catalogue record

Date deposited: 11 Oct 2012 11:10
Last modified: 18 Jul 2017 05:20

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Contributors

Author: Peter M. Robinson
Author: Francesca Rossi

University divisions

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