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Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression

  • Martellosio, Federico
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    This paper derives some exact power properties of tests for spatial autocorrelation in the context of a linear regression model. In particular, we characterize the circumstances in which the power vanishes as the autocorrelation increases, thus extending the work of Krämer (2005, Journal of Statistical Planning and Inference 128, 489-496). More generally, the analysis in the paper sheds new light on how the power of tests for spatial autocorrelation is affected by the matrix of regressors and by the spatial structure. We mainly focus on the problem of residual spatial autocorrelation, in which case it is appropriate to restrict attention to the class of invariant tests, but we also consider the case when the autocorrelation is due to the presence of a spatially lagged dependent variable among the regressors. A numerical study aimed at assessing the practical relevance of the theoretical results is included.

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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7255.

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    Date of creation: 29 Jan 2008
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    Handle: RePEc:pra:mprapa:7255
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    1. 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.
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    9. Prof. Dr. Walter Krämer & Christian Kleiber, . "Finite-Sample Power of the Durbin-Watson Test Against Fractionally Integrated Disturbances," Working Papers 10, Business and Social Statistics Department, Technische Universität Dortmund.
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    15. Goldstein, Robert S, 2000. "The Term Structure of Interest Rates as a Random Field," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 365-84.
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    17. 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.
    18. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
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