Moran-Flavored Tests with Nuisance Parameters: Examples
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Since Moran (1950b) originally proposed his test of correlation, many authors have investigated its properties under varying conditions. In this chapter I demonstrate how new technical results of Pinkse (1999) can be used to verify that the Moran test, or a cross-correlation variant thereof (see Box and Jenkins, 1976, for a detailed discussion of cross-correlation in time series models), indeed has a limiting normal distribution under the null hypothesis of independence.
KeywordsWeight Matrix Linear Regression Model Probit Model Asymptotic Normality Nuisance Parameter
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