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    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.

    Preinerstorfer, David and Pötscher, Benedikt M. 2015. ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX. Econometric Theory, p. 1.


    Anselin, Luc and Arribas-Bel, Daniel 2013. Spatial fixed effects and spatial dependence in a single cross-section. Papers in Regional Science, Vol. 92, Issue. 1, p. 3.


    Fussl, Agnes Müller, Werner G. and Rodríguez-Díaz, Juan 2012. Spatio-Temporal Design.


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NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE

  • Federico Martellosio (a1)
  • DOI: http://dx.doi.org/10.1017/S0266466611000089
  • Published online: 31 May 2011
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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*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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H.H. Kelejian & I.R. Prucha (2002) 2SLS and OLS in a spatial autoregressive model with equal spatial weights. Regional Science and Urban Economics 32, 691707.

H.H. Kelejian , I.R. Prucha , & Y. Yuzefovich (2006) Estimation problems in models with spatial weighting matrices which have blocks of equal elements. Journal of Regional Science 46, 507515.

T.E. Smith (2009) Estimation bias in spatial models with strongly connected weight matrices. Geographical Analysis 41, 307332.

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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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