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Keyword: autocorrelation;

4 results found.

Econometrics Paper

Improved Lagrange Multiplier Tests in Spatial Autoregressions

Peter M Robinson and Francesca Rossi

For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (x squared) first-order asymptotic approximation to critical valu...Read more...

20 November 2013

Econometrics Paper

Improved Tests for Spatial Correlation

Peter M Robinson and Francesca Rossi

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 ...Read more...

20 November 2013

Econometrics Paper

Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.)

Peter M Robinson

In a number of econometric models, rules of large-sample inference require a consistent estimate of f(0), where f (?) is the spectral density matrix of yt = ut?xt, for covariance stationary vectors ut, xt. Typically yt i...Read more...

October 1997

Econometrics Paper

Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.)

Peter M Robinson

A central limit theorem is given for certain weighted sums of a covariance stationary process, assuming it is linear in martingale differences, but without any restriction on its spectrum. We apply the result to kernel n...Read more...

September 1997