arXiv 25 Jan 2021 · Econometrics · publishedEconometric Theory (2022) · 9 citations (OpenAlex)
arXiv:2101.10255 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hong, Y. and H. White (1995) Consistent specification testing via nonparametric series regression | 1.000 | 8 | 4 | 100% |
| 2 | Bloom, N., M. Schankerman, and J. van Reenen (2013) Identifying technology pillovers and product market rivalry | 1.000 | 7 | 3 | 100% |
| 3 | Lee, J. and P. M. Robinson (2016) Series estimation under cross-sectional dependence | 1.000 | 5 | 4 | 100% |
| 4 | Delgado, M. and P. M. Robinson (2015) Non-nested testing of spatial correlation | 0.920 | 9 | 4 | 78% |
| 5 | Gupta, A. and P. M. Robinson (2018) Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension self | 0.888 | 10 | 6 | 70% |
| 6 | König, M. D., D. Rohner, M. Thoenig, and F. Zilibotti (2017) Networks in conflict: Theory and evidence from the Great War of Africa | 0.874 | 5 | 2 | 100% |
| 7 | Chen, X (2007) Large sample sieve estimation of semi-nonparametric models, Volume 6B, Chapter 76, pp.\ 5549–5632 | 0.843 | 3 | 3 | 100% |
| 8 | Robinson, P. M (2011) Asymptotic theory for nonparametric regression with spatial data | 0.843 | 3 | 3 | 100% |
| 9 | Su, L. and X. Qu (2017) Specification test for spatial autoregressive models | 0.843 | 3 | 3 | 100% |
| 10 | Lee, L. F (2004) Asymptotic distributions of quasi-maximum likelihood estimators for spatial autoregressive models | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 69 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Testing linearity of spatial interaction functions à la Ramsey | 0.405 | 1 | 1 |
| 2 | Wald inference on varying coefficients | 0.405 | 1 | 1 |