A Nonparametric Test for Cross-Unit Spillovers

2026/07/31 by Margherita Comola, Camila Comunello, Abhimanyu Gupta
Economics, Econometrics and Finance · Mathematics · #econ.EM #stat.ME

paper · pdf

arxiv created 2026/07/31 · arxiv updated 2026/08/04

Abstract

Cross-unit dependence is pervasive in empirical applications and complicates econometric inference, especially when spillovers operate in nonlinear ways. We propose a novel nonparametric test for cross-unit spillovers that may operate through peers' attributes, peers' outcomes, or both. The test is straightforward to implement, as it requires only estimation under the null hypothesis of no cross-unit spillovers, and is shown to have a convenient asymptotic standard normal distribution. It is also versatile, accommodating data generated by a wide range of interaction structures. We present four empirical illustrations showing that the proposed test can yield substantively different conclusions about the presence of cross-unit spillovers than existing approaches.

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