On the Asymptotic Distribution of the Moran I Test Statistic with Applications

Harry H. Kelejian and Ingmar Prucha, Journal of Econometrics 104(2), 219-257, September .


By far, the most popular test for spatial correlation is the one based on Moran’s (1950) I test statistic. Despite this, the available results in the literature concerning the large sample distribution of this statistic are limited and have been derived under assumptions that do not cover many applications of interest. In this paper we 3rst give a general result concerning the large sample distribution of Moran I type test statistics. We then apply this result to derive the large sample distribution of the Moran I test statistic for a variety of important models. In order to establishthese results we also give a new central limit theorem for linear-quadratic forms.

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