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Finite sample properties of Moran's I test for spatial autocorrelation in tobit models

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  • Pedro V. Amaral
  • Luc Anselin

Abstract

type="main" xml:lang="es"> En este artículo investigamos las propiedades de muestra finitas del estadístico de la prueba I de Moran para la autocorrelación espacial en modelos tobit como los sugeridos por Kelejian y Prucha. Con esto llenamos un vacío en la literatura teórica mediante la investigación de las propiedades de muestra finita de esta prueba estadística en una serie de simulaciones de Monte Carlo, por medio de una serie de conjuntos de datos que van desde 49 a 15.625 observaciones. Encontramos que la prueba no es sesgada, tiene un poder estadístico considerable y se aproxima a la distribución normal asintótica incluso para tamaños de muestra de tamaño medio, lo que confirma empíricamente los resultados teóricos de Kelejian y Prucha. Sin embargo, es necesaria cierta cautela, ya que el estadístico resulta ser sensible a errores en forma de heterocedasticidad. En tales casos, la prueba rechaza sobre manera la hipótesis nula, ya que confunde heterocedasticidad con autocorrelación espacial.

Suggested Citation

  • Pedro V. Amaral & Luc Anselin, 2014. "Finite sample properties of Moran's I test for spatial autocorrelation in tobit models," Papers in Regional Science, Wiley Blackwell, vol. 93(4), pages 773-781, November.
    • Handle: RePEc:bla:presci:v:93:y:2014:i:4:p:773-781
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    2. Luc Anselin, 2003. "Spatial Externalities, Spatial Multipliers, And Spatial Econometrics," International Regional Science Review, , vol. 26(2), pages 153-166, April.
    3. H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
    4. Kelejian, Harry H. & Robinson, Dennis P., 1998. "A suggested test for spatial autocorrelation and/or heteroskedasticity and corresponding Monte Carlo results," Regional Science and Urban Economics, Elsevier, vol. 28(4), pages 389-417, July.
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    3. Millo, Giovanni, 2017. "A simple randomization test for spatial correlation in the presence of common factors and serial correlation," Regional Science and Urban Economics, Elsevier, vol. 66(C), pages 28-38.
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    6. Yu Shi & Rui Han & Luo Guo, 2020. "Temporal–Spatial Distribution of Ecosystem Health and Its Response to Human Interference Based on Different Terrain Gradients: A Case Study in Gannan, China," Sustainability, MDPI, vol. 12(5), pages 1-17, February.
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