Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression

Federico Martellosio

MPRA Paper from University Library of Munich, Germany

Abstract: This paper derives some exact power properties of tests for spatial autocorrelation in the context of a linear regression model. In particular, we characterize the circumstances in which the power vanishes as the autocorrelation increases, thus extending the work of Krämer (2005, Journal of Statistical Planning and Inference 128, 489-496). More generally, the analysis in the paper sheds new light on how the power of tests for spatial autocorrelation is affected by the matrix of regressors and by the spatial structure. We mainly focus on the problem of residual spatial autocorrelation, in which case it is appropriate to restrict attention to the class of invariant tests, but we also consider the case when the autocorrelation is due to the presence of a spatially lagged dependent variable among the regressors. A numerical study aimed at assessing the practical relevance of the theoretical results is included.

Keywords: Cliff-Ord test; invariant tests; linear regression model; point optimal tests; power; similar tests; spatial autocorrelation (search for similar items in EconPapers)
JEL-codes: C01 C12 C21 C31 (search for similar items in EconPapers)
Date: 2008-01-29
New Economics Papers: this item is included in nep-ecm and nep-geo
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/10358/1/MPRA_paper_10358.pdf revised version (application/pdf)

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