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Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression

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  • Martellosio, Federico

Abstract

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.

Suggested Citation

  • Martellosio, Federico, 2008. "Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression," MPRA Paper 7255, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:7255
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    File URL: https://mpra.ub.uni-muenchen.de/10358/1/MPRA_paper_10358.pdf
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    References listed on IDEAS

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    Cited by:

    1. Martellosio, Federico, 2008. "Testing for spatial autocorrelation: the regressors that make the power disappear," MPRA Paper 10542, University Library of Munich, Germany.

    More about this item

    Keywords

    Cliff-Ord test; invariant tests; linear regression model; point optimal tests; power; similar tests; spatial autocorrelation;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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