University of Surrey

Test tubes in the lab Research in the ATI Dance Research

Power properties of invariant tests for spatial autocorrelation in linear regression

Martellosio, F (2010) Power properties of invariant tests for spatial autocorrelation in linear regression Econometric Theory, 26 (1). pp. 152-186.

Full text not available from this repository.

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). 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. © Cambridge University Press, 2009.

Item Type: Article
Authors :
NameEmailORCID
Martellosio, Ff.martellosio@surrey.ac.ukUNSPECIFIED
Date : February 2010
Identification Number : 10.1017/S0266466609090641
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:14
Last Modified : 17 May 2017 14:33
URI: http://epubs.surrey.ac.uk/id/eprint/818255

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year


Information about this web site

© The University of Surrey, Guildford, Surrey, GU2 7XH, United Kingdom.
+44 (0)1483 300800