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A suggested test for spatial autocorrelation and/or heteroskedasticity and corresponding Monte Carlo results

✍ Scribed by Harry H. Kelejian; Dennis P. Robinson


Book ID
114139389
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
120 KB
Volume
28
Category
Article
ISSN
0166-0462

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## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t