FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS

B-Tier
Journal: Econometric Theory
Year: 2016
Volume: 32
Issue: 1
Pages: 154-186

Authors (4)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper develops a method for performing inference using spatially dependent data. We consider test statistics formed using nonparametric covariance matrix estimators that account for heteroskedasticity and spatial correlation (spatial HAC). We provide distributions of commonly used test statistics under “fixed-b” asymptotics, in which HAC smoothing parameters are proportional to the sample size. Under this sequence, spatial HAC estimators are not consistent but converge to nondegenerate limiting random variables that depend on the HAC smoothing parameters, the HAC kernel, and the shape of the spatial region in which the data are located. We illustrate the performance of the “fixed-b” approximation in the spatial context through a simulation example.

Technical Details

RePEc Handle
repec:cup:etheor:v:32:y:2016:i:01:p:154-186_00
Journal Field
Econometrics
Author Count
4
Added to Database
2026-01-25