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Testing for spatial autocorrelation: the regressors that make the power disappear

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Martellosio, F. (2010) Testing for spatial autocorrelation: the regressors that make the power disappear. Econometric Reviews, 31 (2). pp. 215-240. ISSN 1532-4168

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To link to this article DOI: 10.1080/07474938.2011.553571

Abstract/Summary

We show that for any sample size, any size of the test, and any weights matrix outside a small class of exceptions, there exists a positive measure set of regression spaces such that the power of the Cli-Ord test vanishes as the autocorrelation increases in a spatial error model. This result extends to the tests that dene the Gaussian power envelope of all invariant tests for residual spatial autocorrelation. In most cases, the regression spaces such that the problem occurs depend on the size of the test, but there also exist regression spaces such that the power vanishes regardless of the size. A characterization of such particularly hostile regression spaces is provided.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
ID Code:17917
Publisher:Taylor & Francis

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