The robustness of the F-test to spatial autocorrelation among regression disturbances

It is shown that the null distribution of the F-test in a linear regression is rather non-robust to spatial autocorrelation among the regression disturbances. In particular, the true size of the test tends to either zero or unity when the spatial autocorrelation coefficient approaches the boundary of the parameter space.

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Year of publication:	2002
Authors:	Krämer, Walter
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	F-test \| size \| spatial autocorrelation

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	Number 2002,56
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010982385