On the bootstrap for Moran’s I test for spatial dependence

Fei Jin and Lung-Fei Lee

Journal of Econometrics, 2015, vol. 184, issue 2, 295-314

Abstract: This paper is concerned with the use of the bootstrap for statistics in spatial econometric models, with a focus on the test statistic for Moran’s I test for spatial dependence. We show that, for many statistics in spatial econometric models, the bootstrap can be studied based on linear–quadratic (LQ) forms of disturbances. By proving the uniform convergence of the cumulative distribution function for LQ forms to that of a normal distribution, we show that the bootstrap is generally consistent for test statistics that can be approximated by LQ forms, including Moran’s I. Possible asymptotic refinements of the bootstrap are most commonly studied using Edgeworth expansions. For spatial econometric models, we may establish asymptotic refinements of the bootstrap based on asymptotic expansions of LQ forms. When the disturbances are normal, we prove the existence of the usual Edgeworth expansions for LQ forms; when the disturbances are not normal, we establish an asymptotic expansion of LQ forms based on martingales. These results are applied to show the second order correctness of the bootstrap for Moran’s I test.

Keywords: Bootstrap; Spatial; Moran’s I; Consistency; Asymptotic refinement; Linear–quadratic form (search for similar items in EconPapers)
JEL-codes: C12 C15 C21 R15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407614001900
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:184:y:2015:i:2:p:295-314

DOI: 10.1016/j.jeconom.2014.09.005

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().