Improved tests for spatial correlation
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41835.
Date of creation: 22 Jun 2012
Date of revision:
Spatial Autocorrelation; Ordinary Least Squares; Hypothesis Testing; Edgeworth Expansion; Bootstrap;
Other versions of this item:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
- NEP-ECM-2012-10-20 (Econometrics)
- NEP-GEO-2012-10-20 (Economic Geography)
- NEP-URE-2012-10-20 (Urban & Real Estate Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
- Giovanni Forchini, .
"The Exact Cumulative Distribution Function of a Ratio of Quadratic Forms in Normal Variables with Application to the AR(1) Model,"
01/02, Department of Economics, University of York.
- Forchini, G., 2002. "The Exact Cumulative Distribution Function Of A Ratio Of Quadratic Forms In Normal Variables, With Application To The Ar(1) Model," Econometric Theory, Cambridge University Press, vol. 18(04), pages 823-852, August.
- Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 99-121, July.
- Lung-Fei Lee, 2004. "Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models," Econometrica, Econometric Society, vol. 72(6), pages 1899-1925, November.
- Hillier, G.H., 1999. "The density of a quadratic form in a vector uniformly distributed on the n-sphere," Discussion Paper Series In Economics And Econometrics 9902, Economics Division, School of Social Sciences, University of Southampton.
- Phillips, Peter C B, 1977. "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica, Econometric Society, vol. 45(2), pages 463-85, March.
- Hillier, Grant, 2001. "THE DENSITY OF A QUADRATIC FORM IN A VECTOR UNIFORMLY DISTRIBUTED ON THE n-SPHERE," Econometric Theory, Cambridge University Press, vol. 17(01), pages 1-28, February.
- 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.
- Paparoditis, Efstathios & Politis, Dimitris N., 2005. "Bootstrap hypothesis testing in regression models," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 356-365, October.
- Peter M. Robinson & Francesca Rossi, 2014.
"Improved Lagrange multiplier tests in spatial autoregressions,"
Royal Economic Society, vol. 17(1), pages 139-164, 02.
- Peter M Robinson & Francesca Rossi, 2013. "Improved Lagrange Multiplier Tests in Spatial Autoregressions," STICERD - Econometrics Paper Series /2013/566, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.