Asymptotic f-test in a gmm framework with cross-sectional dependence

• Autores: Yixiao Sun, Min Seong Kim
• Localización: The Review of economics and statistics, ISSN 0034-6535, Vol. 97, Nº 1, 2015, págs. 210-223
• Idioma: inglés
• DOI: 10.1162/rest_a_00441
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• Resumen

  • 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. [ABSTRACT FROM AUTHOR]