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Four tests of independence in spatiotemporal data

Author

Listed:
  • López, Fernando A.
  • Matilla†García, Mariano
  • Mur, Jesús
  • Marín, Manuel Ruiz

Abstract

This paper tries to extend the range of techniques for testing the hypothesis of ‘complete spatiotemporal randomness’ in the case of a general type variable with a regional or spatial breakdown. The tests that we can find nowadays in the literature are not well†suited to, for the most part of, series of interest. We have generalized the use of three popular tests of spatial dependence (namely, Moran's I, the spatial BDS and the BP tests) to which we add a Lagrange multiplier test. Furthermore, with a Monte Carlo simulation, we show the finite sample behaviour of the four tests for linear and non†linear processes. The paper finishes with an empirical application to the annual growth rates of employment in European regions.

Suggested Citation

Handle: RePEc:eee:paresc:v:90:y:2011:i:3:p:663-686
DOI: 10.1111/j.1435-5957.2010.00335.x
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JEL classification:

  • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
  • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
  • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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