More on the F-test under Nonspherical Disturbances

Walter Krämer and Christoph Hanck ()
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Christoph Hanck: Universiteit Maastricht, Department Quantitative Economics

A chapter in Statistical Inference, Econometric Analysis and Matrix Algebra, 2009, pp 179-184 from Springer

Abstract: Abstract We show that the F-test can be both liberal and conservative in the context of a particular type of nonspherical behaviour induced by spatial autocorrelation, and that the conservative variant is more likely to occur for extreme values of the spatial autocorrelation parameter. In particular, it will wipe out the progressive one as the sample size increases.

Keywords: Spatial Autocorrelation; Linear Regression Model; Null Distribution; Conservative Variant; Rejection Probability (search for similar items in EconPapers)
Date: 2009
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Working Paper: More on the F-test under nonspherical disturbances (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2121-5_12

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DOI: 10.1007/978-3-7908-2121-5_12

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