The Review of Economics and Statistics Vol. 97 No. 1 2015
Asymptotic F-Test in a GMM Framework with Cross-Sectional Dependence
Abstract
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
- Issue
- 1
- Pages
- 210-223
- Language
- en
- Sources
- openalex crossref