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

Robinson, Peter (2008) Correlation testing in time series, spatial and cross-sectional data. Econometrics Papers, EM/2009/530. Suntory Centre, London School of Economics and Political Science, London, UK.

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Abstract

We provide a general class of tests for correlation in time series, spatial, spatiotemporal 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.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk/_new/publications/series....
Additional Information: © 2008 Peter Robinson
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C29 - Other
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: EM/2009/530
Date Deposited: 12 Oct 2009 15:15
URL: http://eprints.lse.ac.uk/25470/

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