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	A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications
	Ying Fang ; Sung Y. Park ; Jinfeng Zhang
	2013-11-08
出处	http://www.wise.xmu.edu.cn/paperInfor.asp?id=191
关键词	Spatial dependence  Score test  Robust test  Distribution misspecification  Local misspecification.
英文摘要	It is well known that the standard Lagrange multiplier (LM) test loses its local optimality when the true non-null model is not correctly specified. In this paper, we derive a score test robust to local and distributional misspecifications for spatial error autocorrelation and spatial lag dependence. The proposed test is general enough to include several popular tests for the spatial dependence as special cases. In our framework, we find that Burridge (1980) and Anselin, Bera, Florax and Yoon (1996)’s tests are automatically robust to distributional misspecification in some special cases. The size and power performances of our proposed score tests are investigated by a Monte-Carlo simulation. JEL code: C12; C21; R10.
语种	中文
内容类型	研究报告
源URL	[http://dspace.xmu.edu.cn/handle/2288/56801]
专题	王亚南院－工作文稿
推荐引用方式 GB/T 7714	Ying Fang,Sung Y. Park,Jinfeng Zhang. A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications. 2013.

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