Munich Personal RePEc Archive

Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression

Martellosio, Federico (2008): Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_7255.pdf

Download (478kB) | Preview

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, Journal of Statistical Planning and Inference 128, 489-496). 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.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.