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More on the F-test under Nonspherical Disturbances

In: Statistical Inference, Econometric Analysis and Matrix Algebra

Author

Listed:
  • Walter Krämer

    (Technische Universität Dortmund, Fakultät Statistik)

  • Christoph Hanck

    (Universiteit Maastricht, Department Quantitative Economics)

Abstract

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.

Suggested Citation

  • Walter Krämer & Christoph Hanck, 2009. "More on the F-test under Nonspherical Disturbances," Springer Books, in: Bernhard Schipp & Walter Kräer (ed.), Statistical Inference, Econometric Analysis and Matrix Algebra, pages 179-184, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2121-5_12
    DOI: 10.1007/978-3-7908-2121-5_12
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