Improved tests for spatial correlation
We 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.
|Date of creation:||22 Jun 2012|
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- 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.
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