A non-parametric spatial independence test using symbolic entropy

被引:47
|
作者
Lopez, Fernando [3 ]
Matilla-Garcia, Mariano [1 ]
Mur, Jesus [2 ]
Ruiz Marin, Manuel [3 ]
机构
[1] Univ Nacl Educ Distancia, Dpto Econ Cuantitat 1 A, Madrid 28040, Spain
[2] Univ Zaragoza, Dpto Anal Econ, Zaragoza 50005, Spain
[3] Univ Politecn Cartagena, Dpto Metodos Cuantitat & Informat, Cartagena 30201, Spain
关键词
Spatial dependence; Non-parametric test; Entropy; Symbolic dynamics; CLIFF-ORD TEST; ASYMPTOTIC-DISTRIBUTION; BINOMIAL APPROXIMATION; MOMENTS ESTIMATOR; AUTOCORRELATION; DEPENDENCE; LAG;
D O I
10.1016/j.regsciurbeco.2009.11.003
中图分类号
F [经济];
学科分类号
02 ;
摘要
In the present paper, we construct a new, simple, consistent and powerful test for spatial independence, called the SG test, by using the new concept of symbolic entropy as a measure of spatial dependence. The standard asymptotic distribution of the test is an affine transformation of the symbolic entropy under the null hypothesis. The test statistic, with the proposed symbolization procedure, and its standard limit distribution have appealing theoretical properties that guarantee the general applicability of the test. An important aspect is that the test does not require specification of the W matrix and is free of a priori assumptions. We include a Monte Carlo study of our test, in comparison with the well-known Moran's I, the SBDS (de Graaff et al., 2001) and 7 test (Brett and Pinkse, 1997) that are two non-parametric tests, to better appreciate the properties and the behaviour of the new test. Apart from being competitive compared to other tests, results underline the outstanding power of the new test for non-linear dependent spatial processes. (C) 2009 Elsevier B.V. All rights reserved.
引用
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页码:106 / 115
页数:10
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