NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE

Federico Martellosio ()

Econometric Theory, 2011, vol. 27, issue 6, 1369-1375

Abstract: We show that any invariant test for spatial autocorrelation in a spatial error or spatial lag model with equal weights matrix has power equal to size. This result holds under the assumption of an elliptical distribution. Under Gaussianity, we also show that any test whose power is larger than its size for at least one point in the parameter space must be biased.

Date: 2011
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