Kim, Min Seong; Sun, Yixiao - Department of Economics, Ryerson University - 2012
The paper develops an asymptotically valid F test that is robust to spatial autocorrelation in a GMM framework. The test is based on the class of series covariance matrix estimators and ?fixed-smoothing asymptotics. The fi?xed-smoothing asymptotics and F approximation are established under mild...