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
To link to this article DOI: 10.1017/S0266466611000089
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.