Abstract
Since Moran (1950b) originally proposed his test of correlation, many authors have investigated its properties under varying conditions. In this chapter I demonstrate how new technical results of Pinkse (1999) can be used to verify that the Moran test, or a cross-correlation variant thereof (see Box and Jenkins, 1976, for a detailed discussion of cross-correlation in time series models), indeed has a limiting normal distribution under the null hypothesis of independence.
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© 2004 Springer-Verlag Berlin Heidelberg
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Pinkse, J. (2004). Moran-Flavored Tests with Nuisance Parameters: Examples. In: Anselin, L., Florax, R.J.G.M., Rey, S.J. (eds) Advances in Spatial Econometrics. Advances in Spatial Science. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-05617-2_3
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DOI: https://doi.org/10.1007/978-3-662-05617-2_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-07838-5
Online ISBN: 978-3-662-05617-2
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