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NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE

Published online by Cambridge University Press:  31 May 2011

Federico Martellosio
Federico Martellosio*
Affiliation:
University of Reading
*
*Address correspondence to Federico Martellosio, School of Economics, University of Reading, Whiteknights, Reading RG6 6AW, UK; e-mail: f.martellosio@reading.ac.uk.
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Abstract

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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.

Information

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 27 , Issue 6 , December 2011, pp. 1369 - 1375
Copyright
Copyright © Cambridge University Press 2011

References

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