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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 and Toyota International Centres for Economics and Related Disciplines, 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
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
JEL classification: 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
Date Deposited: 12 Oct 2009 15:15
Last Modified: 13 Sep 2024 20:08
URI: http://eprints.lse.ac.uk/id/eprint/25470

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