- A Simple Spatial Dependence Test Robust To Local and Distributional Misspecifications
- Ying Fang, Sung Y. Park, Jinfeng Zhang
- Economics Letters 124 (2014) 203–206
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- In this paper, we derive a class of modified score tests robust to local and distributional misspecifications for testing spatial error autocorrelation and spatial lag dependence. The proposed tests are general enough to include several popular tests for the spatial dependence as special cases. Moreover, we show that the popular test statistics proposed by Burridge (1980) and Anselin et al. (1996) are robust to distributional misspecification although they are derived under normality assumption.
- JEL-Codes: C12, C21, R10
- Keywords: Spatial dependence; Score test; Robust test; Distribution misspecification; Local misspecification
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