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

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  • Robinson, P.M.

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.

Suggested Citation

  • Robinson, P.M., 2008. "Correlation testing in time series, spatial and cross-sectional data," Journal of Econometrics, Elsevier, vol. 147(1), pages 5-16, November.
  • Handle: RePEc:eee:econom:v:147:y:2008:i:1:p:5-16
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    References listed on IDEAS

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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. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
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    Citations

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    Cited by:

    1. Robinson, Peter M. & Thawornkaiwong, Supachoke, 2012. "Statistical inference on regression with spatial dependence," Journal of Econometrics, Elsevier, vol. 167(2), pages 521-542.
    2. Sam Efromovich, 2014. "Efficient Non-Parametric Estimation Of The Spectral Density In The Presence Of Missing Observations," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 407-427, August.
    3. Peter M. Robinson & Francesca Rossi, 2014. "Improved Lagrange multiplier tests in spatial autoregressions," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 139-164, February.
    4. Peter Robinson, 2008. "Large-sample inference on spatial dependence," CeMMAP working papers CWP29/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Zhenlin Yang, 2013. "LM Tests of Spatial Dependence Based on Bootstrap Critical Values," Working Papers 03-2013, Singapore Management University, School of Economics.
    6. Robinson, Peter M. & Rossi, Francesca, 2015. "Refined Tests For Spatial Correlation," Econometric Theory, Cambridge University Press, vol. 31(06), pages 1249-1280, December.
    7. Badi H. Baltagi & Zhenlin Yang, 2013. "Standardized LM tests for spatial error dependence in linear or panel regressions," Econometrics Journal, Royal Economic Society, vol. 16(1), pages 103-134, February.
    8. Luc Anselin, 2010. "Thirty years of spatial econometrics," Papers in Regional Science, Wiley Blackwell, vol. 89(1), pages 3-25, March.
    9. repec:eee:regeco:v:65:y:2017:i:c:p:65-88 is not listed on IDEAS
    10. repec:eee:regeco:v:69:y:2018:i:c:p:130-142 is not listed on IDEAS
    11. Joris Pinkse & Margaret E. Slade, 2010. "The Future Of Spatial Econometrics," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 103-117.
    12. repec:asg:wpaper:1013 is not listed on IDEAS
    13. repec:cep:stiecm:/2013/566 is not listed on IDEAS
    14. Gupta, A, 2015. "Estimation of Spatial Autoregressions with Stochastic Weight Matrices," Economics Discussion Papers 15617, University of Essex, Department of Economics.
    15. Kyriacou, Maria & Phillips, Peter C.B. & Rossi, Francesca, 2014. "Indirect inference in spatial autoregression," Discussion Paper Series In Economics And Econometrics 1418, Economics Division, School of Social Sciences, University of Southampton.
    16. Jungyoon Lee & Peter M Robinson, 2018. "Adaptive Inference on Pure Spatial Models," STICERD - Econometrics Paper Series 596, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    17. Yang, Zhenlin, 2015. "LM tests of spatial dependence based on bootstrap critical values," Journal of Econometrics, Elsevier, vol. 185(1), pages 33-59.
    18. Gupta, A, 2015. "Autoregressive Spatial Spectral Estimates," Economics Discussion Papers 14458, University of Essex, Department of Economics.
    19. repec:esx:essedp:772 is not listed on IDEAS

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