Sun, Yixiao; Kim, Min Seong - In: The Review of Economics and Statistics 97 (2015) 1, pp. 210-233
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...