Asymptotic F-Test in a GMM Framework with Cross-Sectional Dependence
在广义矩估计框架下提出一个对空间自相关稳健的渐近F检验，临界值来自标准F分布，易于实施，且在小样本中具有良好的检验水平和功效。
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. © 2015 The President and Fellows of Harvard College and the Massachusetts Institute of Technology