Testing for spatial autocorrelation: the regressors that make the power disappear
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 Cliff-Ord test vanishes as the autocorrelation increases in a spatial error model. This result extends to the tests that define 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.
|Date of creation:||Sep 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kelejian, Harry H. & Prucha, Ingmar R., 2002. "2SLS and OLS in a spatial autoregressive model with equal spatial weights," Regional Science and Urban Economics, Elsevier, vol. 32(6), pages 691-707, November.
- Oksanen, E.H., 1993. "Efficiency as Correlation," Econometric Theory, Cambridge University Press, vol. 9(01), pages 146-146, January.
- James Lesage & Olivier Parent, 2006.
"Using the Variance Structure of the Conditional Autoregressive Spatial Specification to Model Knowledge Spillovers,"
- Olivier Parent & James P. LeSage, 2008. "Using the variance structure of the conditional autoregressive spatial specification to model knowledge spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 235-256.
- Olivier Parent & James P. Lesage, 2007. "Using the Variance Structure of the Conditional Autoregressive Spatial Specification to Model Knowledge Spillovers," University of Cincinnati, Economics Working Papers Series 2007-03, University of Cincinnati, Department of Economics.
- J. Bradford De Long & Lawrence H. Summers, 1991.
"Equipment Investment and Economic Growth,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 106(2), pages 445-502.
- J. Bradford De Long & Lawrence H. Summers, . "Equipment Investment and Economic Growth," J. Bradford De Long's Working Papers _122, University of California at Berkeley, Economics Department.
- J. Bradford De Long & Lawrence H. Summers, 1990. "Equipment Investment and Economic Growth," NBER Working Papers 3515, National Bureau of Economic Research, Inc.
- Anselin, Luc, 2002. "Under the hood Issues in the specification and interpretation of spatial regression models," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 27(3), November.
- H. Kelejian, Harry & Prucha, Ingmar R., 2001.
"On the asymptotic distribution of the Moran I test statistic with applications,"
Journal of Econometrics,
Elsevier, vol. 104(2), pages 219-257, September.
- Harry H. Kelejian & Ingmar R. Prucha, 1999. "On the Asymptotic Distribution of the Moran I Test Statistic with Applications," Electronic Working Papers 99-002, University of Maryland, Department of Economics.
- Harry H. Kelejian & Ingmar R. Prucha & Yevgeny Yuzefovich, 2006. "Estimation Problems In Models With Spatial Weighting Matrices Which Have Blocks Of Equal Elements," Journal of Regional Science, Wiley Blackwell, vol. 46(3), pages 507-515.
- Badi H. Baltagi, 2006.
"Random effects and Spatial Autocorrelations with Equal Weights,"
Center for Policy Research Working Papers
89, Center for Policy Research, Maxwell School, Syracuse University.
- Baltagi, Badi H., 2006. "Random Effects And Spatial Autocorrelation With Equal Weights," Econometric Theory, Cambridge University Press, vol. 22(05), pages 973-984, October.
- Kelejian, Harry H. & Prucha, Ingmar R., 2010.
"Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances,"
Journal of Econometrics,
Elsevier, vol. 157(1), pages 53-67, July.
- Harry H. Kelejian & Ingmar R. Prucha, 2008. "Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," CESifo Working Paper Series 2448, CESifo Group Munich.
- Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
- A. F. Militino & M. D. Ugarte & L. García-Reinaldos, 2004. "Alternative Models for Describing Spatial Dependence among Dwelling Selling Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 29(2), pages 193-209, 09.
- Martellosio, Federico, 2008. "Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression," MPRA Paper 7255, University Library of Munich, Germany.
- Martellosio, Federico, 2010. "Power Properties Of Invariant Tests For Spatial Autocorrelation In Linear Regression," Econometric Theory, Cambridge University Press, vol. 26(01), pages 152-186, February.
- Anselin, Luc, 2002. "Under the hood : Issues in the specification and interpretation of spatial regression models," Agricultural Economics, Blackwell, vol. 27(3), pages 247-267, November.
- Kathleen P. Bell & Nancy E. Bockstael, 2000. "Applying the Generalized-Moments Estimation Approach to Spatial Problems Involving Microlevel Data," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 72-82, February.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:10542. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.