Consistent specification testing under spatial dependence
| Autor: | Gupta, Abhimanyu, Qu, Xi |
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| Rok vydání: | 2021 |
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| Druh dokumentu: | Working Paper |
| Popis: | 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, and empirical examples illustrate the test with real-world data. Comment: 70 pages |
| Databáze: | arXiv |
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