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Non-testability of equal weights spatial dependence

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

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To link to this article 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
Refereed:Yes
Divisions:Faculty of Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
ID Code:17198
Publisher:Cambridge University Press

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