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Yixiao Sun
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Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics (2015) 97 (1): 210–223.
Published: 01 March 2015
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The paper develops an asymptotically valid F -test that is robust to spatial autocorrelation in a GMM framework. The validity of the F -test is established under mild conditions that can accommodate a wide range of spatial processes. The proposed F -test is very easy to implement, as critical values are from a standard F -distribution. The F -test achieves triple robustness: it is asymptotically valid regardless of the spatial autocorrelation, the sampling region, and the limiting behavior of the smoothing parameter. Simulation also shows that the F -test has good size and power properties in finite samples.
Includes: Supplementary data