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Asymptotic F-Test in a GMM Framework with Cross-Sectional Dependence

Yixiao Sun¹; Min Seong Kim²

¹ University of California San Diego · ² Toronto Metropolitan University

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.

DOI

10.1162/rest_a_00441

Volume

97 (1)

Pages

210-223

Language

en

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BibTeX

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