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Improved tests for spatial correlation

Robinson, Peter M. and Rossi, Francesca (2013) Improved tests for spatial correlation. Econometrics (EM/2013/565). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

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.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2013 The Authors
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 22 Jul 2014 10:01
Last Modified: 16 Nov 2021 00:07
URI: http://eprints.lse.ac.uk/id/eprint/58092

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