On the asymptotic distribution of the Moran I test statistic with applications

被引：51

作者：

Kelejian, HH ^{[1
]}

Prucha, IR ^{[1
]}

机构：

[1] Univ Maryland, Dept Econ, College Pk, MD 20742 USA

来源：

JOURNAL OF ECONOMETRICS | 2001年 / 104卷 / 02期

基金：

美国国家科学基金会;

关键词：

Moran I test; spatial autocorrelation; asymptotic distribution; central limit theorem;

D O I：

10.1016/S0304-4076(01)00064-1

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

By far, the most popular test for spatial correlation is the one based on Moran's (1950) I test statistic. Despite this, the available results in the literature concerning the large sample distribution of this statistic are limited and have been derived under assumptions that do not cover many applications of interest. In this paper we first give a general result concerning the large sample distribution of Moran I type test statistics. We then apply this result to derive the large sample distribution of the Moran I test statistic for a variety of important models. In order to establish these results we also give a new central limit theorem for linear-quadratic forms. (C) 2001 Elsevier Science S.A. All rights reserved.

引用

页码：219 / 257

页数：39

共 48 条

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