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NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE

  • Federico Martellosio (a1)
Abstract

We show that any invariant test for spatial autocorrelation in a spatial error or spatial lag model with equal weights matrix has power equal to size. This result holds under the assumption of an elliptical distribution. Under Gaussianity, we also show that any test whose power is larger than its size for at least one point in the parameter space must be biased.

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Corresponding author
*Address correspondence to Federico Martellosio, School of Economics, University of Reading, Whiteknights, Reading RG6 6AW, UK; e-mail: f.martellosio@reading.ac.uk.
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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