Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79294
Authors: 
Robinson, Peter
Year of Publication: 
2007
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP01/07
Abstract: 
We provide a general class of tests for correlation in time series, spatial, spatio-temporal and cross-sectional data. We motivate our focus by reviewing how computational and theoretical difficulties of point estimation mount as one moves from regularly-spaced time series data, through forms of irregular spacing, and to spatial data of various kinds. A broad class of computationally simple tests is justiied. These specialize Lagrange multiplier tests against parametric departures of various kinds. Their forms are illustrated in case of several models for describing correlation in various kinds of data. The initial focus assumes homoscedasticity, but we also robustify the tests to nonparametric heteroscedasticity.
Subjects: 
Correlation , heteroscedasticity , Lagrange multiplier tests
JEL: 
C21
C22
C29
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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