Non-testability of equal weights spatial dependence

Martellosio, F. (2011) Non-testability of equal weights spatial dependence. Econometric Theory, 27. pp. 1369-1375. ISSN 1469-4360 doi: 10.1017/S0266466611000089

Abstract/Summary

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.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/17198
Identification Number/DOI	10.1017/S0266466611000089
Refereed	Yes
Divisions	Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
Publisher	Cambridge University Press
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