Econometric Theory

NOTES AND PROBLEMS

NONTESTABILITY OF EQUAL WEIGHTS SPATIAL DEPENDENCE

Federico Martellosioa1 c1

a1 University of Reading

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.

(Online publication May 31 2011)

Correspondence

c1 Address correspondence to Federico Martellosio, School of Economics, University of Reading, Whiteknights, Reading RG6 6AW, UK; e-mail: f.martellosio@reading.ac.uk.

Footnotes

I would like to thank Giuseppe Cavaliere (the co-editor), two anonymous referees, Peter Burridge, Giovanni Forchini, Patrick Marsh, and Paolo Paruolo for their valuable comments.

Metrics