Moran-Flavored Tests with Nuisance Parameters: Examples

Joris Pinkse
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Joris Pinkse: The Pennsylvania State University

Chapter 3 in Advances in Spatial Econometrics, 2004, pp 67-77 from Springer

Abstract: Abstract Since Moran (1950b) originally proposed his test of correlation, many authors have investigated its properties under varying conditions. In this chapter I demonstrate how new technical results of Pinkse (1999) can be used to verify that the Moran test, or a cross-correlation variant thereof (see Box and Jenkins, 1976, for a detailed discussion of cross-correlation in time series models), indeed has a limiting normal distribution under the null hypothesis of independence.

Keywords: Weight Matrix; Linear Regression Model; Probit Model; Asymptotic Normality; Nuisance Parameter (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/978-3-662-05617-2_3

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