CONSISTENT SPECIFICATION TESTING UNDER NETWORK DEPENDENCE, joint with Xi Qu(EC)

Friday 15 February 2019, 1.00PM to 2.00pm

Speaker(s): Abhimanyu Gupta, University of Essex

Abstract: We propose a series-based nonparametric specification test for a regression function when data are dependent across a network. Network dependence can be parametric, parametric with increasing dimension, semiparametric or any combination thereof, thus covering a vast variety of settings. These include spatial error models of varying types and levels of complexity. Models in which network dependence arises directly in outcome variables are also treated. Under a new smooth network dependence condition, our test statistic is asymptotically standard normal. To prove the latter property, we establish a central limit theorem for quadratic forms in linear processes in an increasing dimension setting. Finite sample performance is investigated in a simulation study and empirical examples illustrate the test with real-world data.

Location: A/D271 ERC Seminar Room (2nd floor above Alcuin Porters)

Admission: All welcome