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.

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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 :	Name Email ORCID Martellosio, F f.martellosio@surrey.ac.uk UNSPECIFIED
Date :	February 2010
Identification Number :	https://doi.org/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

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