On the I -super-2( q ) Test Statistic for Spatial Dependence: Finite Sample Standardization and Properties

David Drukker and Ingmar Prucha

Spatial Economic Analysis, 2013, vol. 8, issue 3, 271-292

Abstract: One of the most widely used tests for spatial dependence is Moran's (1950) I test. The power of the test will depend on the extent to which the spatial-weights matrix employed in computing the Moran I test statistic properly specifies existing interaction links between spatial units. Empirical researchers are often unsure about the use of a particular spatial-weights matrix. In light of this Prucha (2011) introduced the I-super- 2 ( q ) test statistic. This test statistic combines quadratic forms based on several, say q, spatial-weights matrices, while at the same time allows for a proper controlling of the size of the test. In this paper, we first introduce a finite-sample standardized version of the I-super- 2 ( q ) test. We then perform a Monte Carlo study to explore the finite-sample performance of the I-super- 2 ( q ) tests. For comparison, the Monte Carlo study also reports on the finite-sample performance of Moran I tests as well as on Moran I tests performed in sequence.

Date: 2013
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DOI: 10.1080/17421772.2013.804630

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