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Non-nested testing of spatial correlation

Delgado, Miguel A. and Robinson, Peter M. (2013) Non-nested testing of spatial correlation. Econometrics (EM/2013/568). The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

We develop non-nested tests in a general spatial, spatio-temporal or panel data context. The spatial aspect can be interpreted quite generally, in either a geographical sense, or employing notions of economic distance, or even when parametric modelling arises in part from a common factor or other structure. In the former case, observations may be regularly-spaced across one or more dimensions, as is typical with much spatio-temporal data, or irregularly-spaced across all dimensions; both isotropic models and non-isotropic models can be considered, and a wide variety of correlation structures. In the second case, models involving spatial weight matrices are covered, such as "spatial autoregressive models". The setting is sufficiently general to potentially cover other parametric structures such as certain factor models, and vector-valued observations, and here our preliminary asymptotic theory for parameter estimates is of some independent value. The test statistic is based on a Gaussian pseudo-likelihood ratio, and is shown to have an asymptotic standard normal distribution under the null hypothesis that one of the two models is correct. A small Monte Carlo study of …finite-sample performance is included.

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
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 23 Jul 2014 11:26
Last Modified: 06 Aug 2019 23:11
Projects: ECO2012-33053, ES/J007242/1
Funders: Spanish Plan Nacional de I+D+i, Catedra de Excelencia at Universidad Carlos III de Madrid, Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/58169

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