Correlation testing in time series, spatial and cross-sectional data
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.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- 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.
- Peter M. Robinson & J. Vidal Sanz, 2005.
"Modified whittle estimation of multilateral models on a lattice,"
LSE Research Online Documents on Economics
4545, London School of Economics and Political Science, LSE Library.
- Robinson, P.M. & Vidal Sanz, J., 2006. "Modified Whittle estimation of multilateral models on a lattice," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1090-1120, May.
- Peter M Robinson & J Vidal Sanz, 2005. "Modified Whittle Estimation of Multilateral Models on a Lattice," STICERD - Econometrics Paper Series 492, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- 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.
- Badi H. Baltagi & Dong Li, 2001. "LM Tests for Functional Form and Spatial Error Correlation," International Regional Science Review, , vol. 24(2), pages 194-225, April.
- Harry H. Kelejian & Ingmar R. Prucha, 1999.
"On the Asymptotic Distribution of the Moran I Test Statistic with Applications,"
Electronic Working Papers
99-002, University of Maryland, Department of Economics.
- 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.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:147:y:2008:i:1:p:5-16. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.