Gupta, Abhimanyu and Qu, Xi (2022) Consistent specification testing under spatial dependence. Econometric Theory, 40 (2). pp. 278-319. DOI https://doi.org/10.1017/s0266466622000445
Gupta, Abhimanyu and Qu, Xi (2022) Consistent specification testing under spatial dependence. Econometric Theory, 40 (2). pp. 278-319. DOI https://doi.org/10.1017/s0266466622000445
Gupta, Abhimanyu and Qu, Xi (2022) Consistent specification testing under spatial dependence. Econometric Theory, 40 (2). pp. 278-319. DOI https://doi.org/10.1017/s0266466622000445
Abstract
We propose a series-based nonparametric specification test for a regression function when data are spatially dependent, the “space” being of a general economic or social nature. Dependence can be parametric, parametric with increasing dimension, semiparametric or any combination thereof, thus covering a vast variety of settings. These include spatial error models of varying types and levels of complexity. Under a new smooth spatial dependence condition, our test statistic is asymptotically standard normal. To prove the latter property, we establish a central limit theorem for quadratic forms in linear processes in an increasing dimension setting. Finite sample performance is investigated in a simulation study, with a bootstrap method also justified and illustrated. Empirical examples illustrate the test with real-world data.
Item Type: | Article |
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Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 12 Oct 2022 08:26 |
Last Modified: | 30 Oct 2024 20:51 |
URI: | http://repository.essex.ac.uk/id/eprint/33339 |
Available files
Filename: consistent-specification-testing-under-spatial-dependence.pdf
Licence: Creative Commons: Attribution 3.0