More on the F-test under nonspherical disturbances

We show that the F-test can be both liberal and conservative in the context of a particular type of nonspherical behaviour induced by spatial autocorrelation, and that the conservative variant is more likely to occur for extreme values of the spatial autocorrelation parameter. In particular, it will wipe out the progressive one as the sample size increases.

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Year of publication:	2008
Authors:	Krämer, Walter ; Hanck, Christoph
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	F-test \| spatial autocorrelation

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2008,14
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009216962