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).

Download

[img] PDF MPRA_paper_41835.pdf - Other
Download (457kB)

Description/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.

Item Type: Monograph (Working Paper)
Subjects: H Social Sciences > HA Statistics
Organisations: Economics
ePrint ID: 343822
Date :
Date Event
June 2012Published
Date Deposited: 11 Oct 2012 11:10
Last Modified: 17 Apr 2017 16:31
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/343822

Actions (login required)

View Item View Item