More on the F-test under nonspherical disturbances

Walter Krämer and Christoph Hanck

No 2008,14, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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: F-test; spatial autocorrelation (search for similar items in EconPapers)
Date: 2008
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