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Correlation testing in time series, spatial and cross-sectional data

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  • Robinson, P.M.
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    Abstract

    We provide a general class of tests for correlation in time series, spatial, spatio-temporal and cross-sectional data. We motivate our focus by reviewing how computational and theoretical difficulties of point estimation mount, as one moves from regularly-spaced time series data, through forms of irregular spacing, and to spatial data of various kinds. A broad class of computationally simple tests is justified. These specialize to Lagrange multiplier tests against parametric departures of various kinds. Their forms are illustrated in case of several models for describing correlation in various kinds of data. The initial focus assumes homoscedasticity, but we also robustify the tests to nonparametric heteroscedasticity.

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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4TDC0J6-3/2/b9e887790fbcdb8a0a611950776b1f90
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 147 (2008)
    Issue (Month): 1 (November)
    Pages: 5-16

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    Handle: RePEc:eee:econom:v:147:y:2008:i:1:p:5-16

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    Web page: http://www.elsevier.com/locate/jeconom

    Related research

    Keywords: Correlation Heteroscedasticity Lagrange multiplier tests;

    References

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    1. Robinson, P. M., 1977. "Estimation of a time series model from unequally spaced data," Stochastic Processes and their Applications, Elsevier, vol. 6(1), pages 9-24, November.
    2. Peter M Robinson & J Vidal Sanz, 2005. "Modified Whittle Estimation of Multilateral Models on a Lattice," STICERD - Econometrics Paper Series /2005/492, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
    4. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
    5. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
    6. Lee, Lung-Fei, 2002. "Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 252-277, April.
    7. Sargan, J D & Drettakis, E G, 1974. "Missing Data in an Autoregressive Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 39-58, February.
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    Cited by:
    1. Luc Anselin, 2009. "Thirty Years of Spatial Econometrics," GeoDa Center Working Papers 1013, GeoDa Center for Geospatial Analysis and Computation.
    2. Peter Robinson, 2008. "Large-sample inference on spatial dependence," CeMMAP working papers CWP29/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Badi H. Baltagi & Zhenlin Yang, 2010. "Standardized LM Tests for Spatial Error Dependence in Linear or Panel Regressions," Working Papers 11-2010, Singapore Management University, School of Economics.

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